Abstract
AbstractThis 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.
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