660
Views
91
CrossRef citations to date
0
Altmetric
Original Articles

Which precious metals spill over on which, when and why? Some evidence

, &

References

  • Abanomey, W. S. and Mathur, I. (2001) International portfolios with commodity futures and currency forward contracts, The Journal of Investing, 10, 61–8. doi:10.3905/joi.2001.319474
  • Adams, Z., Füss, R. and Kaiser, D. G. (2011) Macroeconomic determinants of commodity futures returns, in The Handbook of Commodity Investing, Fabozzi, F. J., Füss R. and Kaiser, D. G. (Eds), John Wiley & Sons, New York, pp. 87–112. doi:10.1002/9781118267004.ch4
  • Batten, J. A., Ciner, C. and Lucey, B. M. (2010) The macroeconomic determinants of volatility in precious metals markets, Resources Policy, 35, 65–71. doi:10.1016/j.resourpol.2009.12.002
  • Boido, C. (2013) Investing in commodities, in Alternative Investments: Instruments, Performance, Benchmarks, and Strategies, Baker, H. K. and Filbeck, G. (Eds), John Wiley, Hoboken, NJ. ISBN: 978-1-118-24112-7
  • Brunetti, C. L. and Gilbert, C. (1995) Metals price volatility, 1972–1995, Resources Policy, 21, 237–54. doi:10.1016/0301-4207(96)85057-4
  • Byers, J. D. and Peel, D. A. (2001) Volatility persistence in asset markets: long memory in high/low prices, Applied Financial Economics, 11, 253–60. doi:10.1080/096031001300138645
  • Caglayan, M. O. and Edwards, F. R. (2001) Hedge fund and commodity fund investments in bull and bear markets, The Journal of Portfolio Management, 27, 97–108. doi:10.3905/jpm.2001.319817
  • Chan, W. H. and Young, D. (2006) Jumping hedges: an examination of movements in copper spot and futures markets, Journal of Futures Markets, 26, 169–88. doi:10.1002/fut.20190
  • Chow, G., Jacquier, E., Kritzman, M. et al. (1999) Optimal portfolios in good times and bad, Financial Analysts Journal, 55, 65–73. doi:10.2469/faj.v55.n3.2273
  • Cumming, D., Haß, L. H. and Schweizer, D. (2013) The role of alternative investments in strategic asset allocation, in Alternative Investments: Instruments, Performance, Benchmarks, and Strategies, Baker, H. K. and Filbeck, G. (Eds), John Wiley & Sons, Chichester, pp. 19–36.
  • Diebold, F. X. and Yilmaz, K. (2009) Measuring financial asset return and volatility spillovers, with application to global equity markets, The Economic Journal, 119, 158–71. doi:10.1111/j.1468-0297.2008.02208.x
  • Diebold, F. X. and Yilmaz, K. (2012) Better to give than to receive: predictive directional measurement of volatility spillovers, International Journal of Forecasting, 28, 57–66. doi:10.1016/j.ijforecast.2011.02.006
  • Engle, R. F., Ito, T. and Lin, W.-L. (1990) Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market, Econometrica, 58, 525–45. doi:10.2307/2938189
  • Erb, C. B. and Harvey, C. R. (2006) The strategic and tactical value of commodity futures, Financial Analysts Journal, 62, 69–97. doi:10.2469/faj.v62.n2.4084
  • Fernandez, V. (2008) The war on terror and its impact on the long-term volatility of financial markets, International Review of Financial Analysis, 17, 1–26. doi:10.1016/j.irfa.2006.11.003
  • Garman, M. B. and Klass, M. J. (1980) On the estimation of security price volatilities from historical data, The Journal of Business, 53, 67–78. doi:10.1086/296072
  • Georgiev, G. (2001) Benefits of commodity investment, The Journal of Alternative Investments, 4, 40–8. doi:10.3905/jai.2001.318997
  • Gilbert, C. L. (2006) Trends and volatility in agricultural commodity prices, in Agricultural Commodity Markets and Trade New Approaches to Analyzing Market Structure and Instability, Sarris, A. and Hallam, D. (Eds), Edward Elgar Publishing, Surrey, pp. 31–60.
  • Gorton, G. and Geert Rouwenhorst, K. (2006) Facts and fantasies about commodity futures, Financial Analysts Journal, 62, 47–68. doi:10.2469/faj.v62.n2.4083
  • Greer, R. J. (1997) What is an asset class, anyway?, The Journal of Portfolio Management, 23, 86–91. doi:10.3905/jpm.23.2.86
  • Hammoudeh, S. M., Yuan, Y., McAleer, M. et al. (2010) Precious metals-exchange rate volatility transmissions and hedging strategies, International Review of Economics and Finance, 19, 633–47. doi:10.1016/j.iref.2010.02.003
  • Kroner, K. F., Kneafsey, K. P. and Claessens, S. (1995) Forecasting volatility in commodity markets, Journal of Forecasting, 14, 77–95. doi:10.1002/for.3980140202
  • Lubber, E. (2013) Size of Precious Metal Markets | The Gold Researcher on WordPress.com
  • Lucey, B. M., Larkin, C. and O’Connor, F. (2014) Gold markets around the world – who spills over what, to whom, when?, Applied Economics Letters, 21, 887–92. doi:10.1080/13504851.2014.896974
  • Molnár, P. (2012) Properties of range-based volatility estimators, International Review of Financial Analysis, 23, 20–9. doi:10.1016/j.irfa.2011.06.012
  • Nijman, T. E. and Swinkels, L. A. P. (2008) Strategic and tactical allocation to commodities for retirement savings schemes, in The Handbook of Commodity Investing, Fabozzi, F. J., Fuss, R. and Kaiser, D. G. (Eds), John Wiley, Hoboken, NJ, pp. 522–45.
  • Pindyck, R. S. (2004) Volatility and commodity price dynamics, Journal of Futures Markets, 24, 1029–47. doi:10.1002/fut.20120
  • Skiadopoulos, G. (2012) Investing in commodities: popular beliefs and misconceptions, Journal of Asset Management, 13, 77–83. doi:10.1057/jam.2011.35

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.