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AuthorAl-Yahyaee K.H.
AuthorMensi W.
AuthorMaitra D.
AuthorAl-Jarrah I.M.W.
Available date2020-04-01T06:54:49Z
Publication Date2019
Publication NameResources Policy
AbstractThis 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 systemic relationship despite their different demand-supply interplays, applications, and the macroeconomic factors, which influence their values. Our results also suggest that correlations among markets do not remain constant over time. Furthermore, we identify the quantiles of returns for two metals where maximum benefits of negative correlations can be obtained to enhance portfolio diversification. This knowledge provides an opportunity for hedgers to decide when they should avoid going long or short on a particular metal. Finally, we find that our approach determines optimal portfolio weights that can reduce risk in metals markets more efficiently than traditional, conditional covariance-based approaches. - 2019
PublisherElsevier Ltd
SubjectCopula quantile-on-quantile
SubjectPrecious metal markets
SubjectTail dependence
TitlePortfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach
Volume Number64

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