Exploring the time and frequency domain connectedness of oil prices and metal prices
Source of Publication
© 2019 Elsevier Ltd This paper explores the time and frequency domain connectedness between oil prices and metal prices for the period of 1980M1-2017M5. We employ DECO-GARCH model for equi-correlation among commodity under consideration, Diebold and Yilmaz (2014), for time domain, and Barunik and Krehlik (2017), for frequency domain (i.e., frequencies considered are: 1–4 months, 4–8 months, 8–15 months and more than 15 months) connectedness measures. The dynamic connectedness is examined by applying a rolling window method in time and frequency domain. Besides, network plots are also made based on the pair-wise net connectedness between the variables. The results for time domain analysis show that the overall connectedness of the system has been just 3.39%. The empirical results of frequency domain connectedness show that total connectedness varies at different frequencies. The maximum contribution is observed at short-term frequency, (1–4 months; 1.65%) and the lowest contribution at medium-term frequency (8–15 months; 0.45%.). The contribution from the highest frequency, which corresponds to more than 15 months’ period, is just 0.56%. The network analysis shows that Zinc is net receiver.
Umar, Zaghum; Nasreen, Samia; Solarin, Sakiru Adebola; and Tiwari, Aviral Kumar, "Exploring the time and frequency domain connectedness of oil prices and metal prices" (2019). Scopus Indexed Articles. 492.