Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
提出一种新的分位数向量自回归扩展联合关联框架，研究2006年至2021年石油与贵金属已实现波动率的溢出效应，发现原油是主要净冲击传递者，且分位数越高净传递机制越明显。
This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net transmitter of shocks in the network across all quartiles. The dynamic total connectedness is heterogeneous over time and driven by economic events. Interestingly, we see that the higher the quartile the more pronounced the net transmission mechanisms of realized volatilities. Notably, the net total directional and pairwise connectedness measures illustrate in most cases similar dynamics.