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Return and Volatility Spillovers in Industrial Metals

Brian M Lucey

IIIS Discussion Paper No. 463

Despite their importance there is a relative dearth on spilovers withing the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility spillovers and identifying the source of same.

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Last updated 8 January 2015 by IIIS (Email).