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Journal article
Precious metals-exchange rate volatility transmissions and hedging strategies
International review of economics & finance, v 19(4), pp 633-647
01 Oct 2010
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (i.e., gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for the four metals system show significant short-run and long-run dependencies and interdependencies to news and past volatility. Furthermore, these results become more pervasive when the exchange rate and federal funds rate are included. Monetary policy also has a differential impact on the precious metals and the exchange rate volatilities. Finally, the applications of the results show the optimal weights in a two-asset portfolio and the hedging ratios for long positions. (C) 2010 Elsevier Inc. All rights reserved.
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Details
- Title
- Precious metals-exchange rate volatility transmissions and hedging strategies
- Creators
- Shawkat M. Hammoudeh - Drexel UniversityYuan Yuan - Drexel UniversityMichael McAleer - University of TokyoMark A. Thompson - Texas Tech University
- Publication Details
- International review of economics & finance, v 19(4), pp 633-647
- Publisher
- Elsevier
- Number of pages
- 15
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000283279500010
- Scopus ID
- 2-s2.0-77956621149
- Other Identifier
- 991019167853504721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics