Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets

摘要

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.