Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

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 tra...

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Bibliographic Details
Authors: Cuñado, J. (Juncal)|||/items/2fe461d2-334e-4422-be6b-a8bd73f61e54, Chatziantoniou, I. (Ioannis)|||/items/d1eacd64-6366-4dda-9af8-398be3db889c, Gabauer, D. (David)|||/items/5ad93f7e-2ebe-46f0-8c46-f1018376b4b3, Pérez-de-Gracia, F. (Fernando)|||/items/617bb85e-6c9e-4cdd-9793-7c2dd7e9ba45, Hardik, M. (Marfatia)|||/items/c7ddae20-9d8b-4d37-99c7-dabc323a291c
Format: article
Publication Date:2023
Country:España
Institution:Universidad de Navarra
Repository:Dadun. Depósito Académico Digital de la Universidad de Navarra
Language:English
OAI Identifier:oai:dadun.unav.edu:10171/67546
Online Access:https://hdl.handle.net/10171/67546
Access Level:Open access
Keyword:Gold
Silver
Crude oil
Heating oil
Realized volatility
Dynamic quantile connectedness
Joint connectedness
Description
Summary: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.

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