Asymmetric and time-frequency spillovers among commodities using high-frequency data. (March 2021)
- Record Type:
- Journal Article
- Title:
- Asymmetric and time-frequency spillovers among commodities using high-frequency data. (March 2021)
- Main Title:
- Asymmetric and time-frequency spillovers among commodities using high-frequency data
- Authors:
- Caporin, Massimiliano
Naeem, Muhammad Abubakr
Arif, Muhammad
Hasan, Mudassar
Vo, Xuan Vinh
Hussain Shahzad, Syed Jawad - Abstract:
- Abstract: In this study, we examine the asymmetric short- and long-run spillover among commodities using realized variances and realized semivariances calculated through 5-min trading data of commodity futures. In doing so, we apply time and frequency domain generalized error variance decomposition approaches and build a network of commodity connectedness. Our findings indicate low inter-group connectedness, distinct group clustering, and high intragroup network-based connectedness in realized volatilities of sample commodities. We find more pronounced inter- and intra-group volatility connectedness for negative realized volatilities than positive ones. Besides, we show that volatility connectedness is a long-run phenomenon. Additionally, the time-varying net directional spillover connectedness reveals that the bad volatility connectedness dictates the good volatility connectedness for the total sample as well as for various frequency domains, both in terms of magnitude and length of time. The implications for investors and policymakers are discussed. Highlights: Asymmetric short- and long-run spillover among commodities volatilities. 5-min trading data of commodity futures and frequency domain GFEVD. Low inter-group, high intragroup network-based connectedness. Pronounced inter- and intra-group volatility connectedness for negative realized volatilities. Volatility connectedness is a long-run phenomenon.
- Is Part Of:
- Resources policy. Volume 70(2021)
- Journal:
- Resources policy
- Issue:
- Volume 70(2021)
- Issue Display:
- Volume 70, Issue 2021 (2021)
- Year:
- 2021
- Volume:
- 70
- Issue:
- 2021
- Issue Sort Value:
- 2021-0070-2021-0000
- Page Start:
- Page End:
- Publication Date:
- 2021-03
- Subjects:
- Asymmetric volatility -- Time-frequency domain -- High-frequency data -- Commodity connectedness
F3 -- G1
Mines and mineral resources -- Periodicals
Ressources minérales -- Périodiques
Ressources naturelles -- Gestion -- Périodiques
Environnement -- Politique gouvernementale -- Périodiques
333.8 - Journal URLs:
- http://www.sciencedirect.com/science/journal/03014207 ↗
http://www.elsevier.com/journals ↗
http://www.journals.elsevier.com/resources-policy/ ↗ - DOI:
- 10.1016/j.resourpol.2020.101958 ↗
- Languages:
- English
- ISSNs:
- 0301-4207
- Deposit Type:
- Legaldeposit
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- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 7777.608600
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