E-resources
-
Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G.
Quantitative finance, 05/2015, Volume: 15, Issue: 5Journal Article
Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium and platinum. We analyse the behaviours of spot prices, returns, volume and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have, thus, properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviours in the conditional variances and volatility clustering. Gold (platinum) is the most (least) liquid and least (most) volatile asset. Commonality in liquidities of precious metals is very strong.
Shelf entry
Permalink
- URL:
Impact factor
Access to the JCR database is permitted only to users from Slovenia. Your current IP address is not on the list of IP addresses with access permission, and authentication with the relevant AAI accout is required.
Year | Impact factor | Edition | Category | Classification | ||||
---|---|---|---|---|---|---|---|---|
JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
Select the library membership card:
If the library membership card is not in the list,
add a new one.
DRS, in which the journal is indexed
Database name | Field | Year |
---|
Links to authors' personal bibliographies | Links to information on researchers in the SICRIS system |
---|
Source: Personal bibliographies
and: SICRIS
The material is available in full text. If you wish to order the material anyway, click the Continue button.