Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals

Item Type Monograph (Working Paper)
Abstract

Taking advantage of a trades-and-quotes database, the main stylized facts and dynamic properties of a time series related to spot precious metals, that is, gold, silver, palladium, and platinum, are documented. The behavior of spot prices, returns, volume, and selected liquidity measures is analyzed. A clear evidence of periodic patterns matching the trading hours of the most active markets, London, Zurich, New York, as well as Asian markets, is found. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The empirical analyzes show, as expected, that gold is the most liquid and less volatile asset, whereas palladium and platinum are traded less.

Authors Caporin, Massimiliano; Ranaldo, Angelo & Velo, Gabriel G.
Language English
Keywords precious metals, high-frequency data, liquidity measurement, intradaily periodicity
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date 2013
Publisher SoF - HSG
Place of Publication St. Gallen
Series Name Working Papers on Finance
Number 2013/18
Depositing User Prof. Dr. Angelo Ranaldo
Date Deposited 21 Oct 2013 11:44
Last Modified 23 Aug 2016 11:17
URI: https://www.alexandria.unisg.ch/publications/226750

Download

[img]
Preview
Text
13_18_Ranaldo et al_Stylized Facts and Dynamic Modeling.pdf

Download (1MB) | Preview

Citation

Caporin, Massimiliano; Ranaldo, Angelo & Velo, Gabriel G.: Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals. Working Papers on Finance, 2013, 2013/18.

Statistics

https://www.alexandria.unisg.ch/id/eprint/226750
Edit item Edit item
Feedback?