Return and Volatility Spillovers in Industrial Metals

13 Pages Posted: 11 Dec 2013

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Date Written: December 10, 2013

Abstract

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

Lucey, Brian M., Return and Volatility Spillovers in Industrial Metals (December 10, 2013). Available at SSRN: https://ssrn.com/abstract=2365777 or http://dx.doi.org/10.2139/ssrn.2365777

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

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Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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