SSRN Electronic Journal,
Journal Year:
2023,
Volume and Issue:
unknown
Published: Jan. 1, 2023
In
this
research,
we
investigate
the
dynamic
relationship
between
global
volatility,
as
measured
by
Common
Volatility
(COVOL),
and
major
precious
metals.
Utilising
popular
Time-Varying
Parameter
Vector
Autoregression
(TVP-VAR)
model,
uncover
distinctive
complex
interconnectedness
that
respond
sharply
to
key
events.
Our
findings
indicate
COVOL
typically
acts
a
volatility
receiver
from
metals,
revealing
market
is
significantly
influenced
fluctuations
in
metals
with
pronounced
spillover
effects
experienced
during
economic,
financial
geopolitical
events,
underscoring
intricate
interplay
metal
values.
This
research
not
only
deepens
our
understanding
of
landscape
but
also
provides
critical
insights
for
policymakers
investors
navigating
these
markets.
Research in International Business and Finance,
Journal Year:
2024,
Volume and Issue:
70, P. 102329 - 102329
Published: March 13, 2024
Using
a
TVP-VAR
frequency
connectedness
approach,
this
study
examines
the
return
of
green
bonds
with
several
major
investment
markets
(e.g.
index
exchange-traded
funds,
oil,
gold
and
currency)
from
perspective
Chinese
investors.
The
main
results
indicate
that
other
assets
is
relatively
low
typically
serves
as
receiver
in
network.
However,
during
epidemic
period,
has
obviously
fluctuated,
briefly
acted
shock
transmitter.
This
also
employs
portfolio
construction
methods,
analysis
demonstrates
can
act
an
efficient
hedging
tool.
Our
help
market
participants
policymakers
better
understand
different
financial
develop
strategies
to
mitigate
risks.
There
has
been
a
renewed
interest
in
nuclear
energy
due
to
its
low-carbon
profile,
security
concerns,
and
technological
advances.
Despite
the
recent
surge
uranium
stocks,
there
is
lack
of
research
on
sector
volatility.
We
fill
this
gap
by
analyzing
volatility
an
ETF
representing
(Global
X
Uranium
ETF,
URA)
from
2010
2024
using
high-frequency
data.
present
comprehensive
analysis
URA
realized
show
that
HAR
models
effectively
capture
The
market-wide
implied
investor
attention
toward
sector,
as
reflected
aggregated
Google
search
volume
indices,
appear
contain
valuable
information
for
forecasting
in-sample
context.
In
contrast,
transmission
mechanism
economic
geopolitical
uncertainty,
well
global
financial
risk
price
variation,
exhibit
limited
relevance.
While
advanced
offer
some
improvement
out-of-sample
framework,
plain
model
remains
benchmark
difficult
surpass.
