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Title: Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futures
Authors: Karanasos, M
Menla Ali, F
Margaronis, Z
Keywords: Financial crisis;Metal futures;Structural breaks;Time-varying volatility spillovers
Issue Date: 2017
Citation: International Review of Financial Analysis
Abstract: This paper examines how the most prevalent stochastic properties of key metal futures returns have been a§ected by the recent Önancial crisis using both mapped and unmapped data. Our results suggest that copper and gold futures returns exhibit time varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model further shows the existence of time varying volatility spillovers between these returns during the di§erent stages of such a crisis. Our results, which are broadly the same in relation to the use of mapped or unmapped data, suggest that the volatilities of copper and gold are inherently linked, although these metals have very different applications.
ISSN: 1057-5219
Appears in Collections:Dept of Economics and Finance Research Papers

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