Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets
基于1993-2019年数据，采用DY和BK方法分析贵金属与工业金属市场间的波动溢出效应，发现危机期间贵金属对工业金属产生净波动溢出，且两类金属的波动溢出在短、中、长期呈现不同动态。
Abstract This paper investigates the volatility spillovers across precious and industrial metal markets over the period 1993–2019 based on the DY and BK methods. Results are summarized as follows: (1) while volatility spillovers across industrial metals are higher than across precious metals, the opposite occurs during crisis periods where precious metals cause net volatility spillovers to industrial metals; (2) volatility spillovers of the two metal groups show different dynamics in the short‐, medium‐ and long‐term components, especially in the short‐ and medium‐term components.