Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105421
Abstract: Abstract We empirically examine the connectedness between the oil market and the major precious metals (gold, silver platinum, palladium) and the base metal copper over the available period covering December 06, 1988 to August 31,… read more here.
Keywords: quantile coherency; interdependence lead; metal markets; oil ... See more keywords
Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach
Sign Up to like & getrecommendations! Published in 2019 at "Resources Policy"
DOI: 10.1016/j.resourpol.2019.101529
Abstract: This study examines the dependence structure among four major precious metal markets: gold, palladium, platinum, and silver. Using the novel Copula Quantile-on-Quantile Regression (C-QQR) approach of Sim (2016), we show that precious metals share a… read more here.
Keywords: portfolio; precious metal; metal markets; metal ... See more keywords