Return and Volatility Spillovers in Industrial Metals
13 Pages Posted: 11 Dec 2013
Date Written: December 10, 2013
Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility spillovers and identifying the source of same.
Keywords: base metal, industrial metal, range-based volatility, spillover
JEL Classification: C01, F49, G12, G15
Suggested Citation: Suggested Citation