Dynamic relationship between precious metals

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dc.citation.epage511en_US
dc.citation.issueNumber4en_US
dc.citation.spage504en_US
dc.citation.volumeNumber38en_US
dc.contributor.authorSensoy, A.en_US
dc.date.accessioned2016-02-08T11:03:53Z
dc.date.available2016-02-08T11:03:53Z
dc.date.issued2013en_US
dc.departmentDepartment of Mathematicsen_US
dc.description.abstractWe use a relatively new approach to endogenously detect the volatility shifts in the returns of four major precious metals (gold, silver, platinum and palladium) from 1999 to 2013. We reveal that the turbulent year of 2008 has no significant effect on volatility levels of gold and silver however causes an upward shift in the volatility levels of palladium and platinum. Using the consistent dynamic conditional correlations, we show that precious metals get strongly correlated with each other in the last decade which reduces the diversification benefits across them and indicates a convergence to a single asset class. We endogenously detect the shifts in these dynamic correlation levels and reveal uni-directional volatility shift contagions among precious metals. The results show that gold has a uni-directional volatility shift contagion effect on all other precious metals and silver has a similar effect on platinum and palladium. However, the latter two do not matter in terms of volatility shift contagion. Thus, investors that hedge with precious metals should, in particular, monitor the volatility levels of gold and silver. © 2013 Elsevier Ltd.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T11:03:53Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2013en
dc.identifier.doi10.1016/j.resourpol.2013.08.004en_US
dc.identifier.issn0301-4207
dc.identifier.urihttp://hdl.handle.net/11693/26720
dc.language.isoEnglishen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.resourpol.2013.08.004en_US
dc.source.titleResources Policyen_US
dc.subjectConsistent dynamic conditional correlationen_US
dc.subjectDynamic equicorrelationen_US
dc.subjectPenalized contrast functionen_US
dc.subjectPrecious metalsen_US
dc.subjectVolatility shift contagionen_US
dc.subjectContagion effectsen_US
dc.subjectDynamic conditional correlationsen_US
dc.subjectDynamic correlationen_US
dc.subjectGold and silveren_US
dc.subjectNew approachesen_US
dc.subjectPenalized contrasten_US
dc.subjectPlatinum and palladiumsen_US
dc.subjectVolatility shift contagionen_US
dc.subjectPlatinumen_US
dc.subjectPrecious metalsen_US
dc.subjectSilveren_US
dc.subjectGolden_US
dc.subjectconvergenceen_US
dc.subjectdynamic analysisen_US
dc.subjectgolden_US
dc.subjectmetalen_US
dc.subjectpalladiumen_US
dc.subjectplatinumen_US
dc.subjectsilveren_US
dc.subjectsource rocken_US
dc.titleDynamic relationship between precious metalsen_US
dc.typeArticleen_US

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