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• W2896897569 abstract "We study the dependency structure between option-implied volatilities of gold and silver markets via the application of a copula-based quantile regression. First, we conduct a static analysis and show that the asymptotic lower tail dependence is only pronounced in the low volatility regime of both gold and silver markets. Second, given the existence of a bi-directional causality between the two option-implied volatilities, we consider the lead-lag relationship via non-parametric tail dependence estimators. Results indicate an extreme tail dependency in lower and upper quantiles, with evidence of an asymmetric behavior between/for low and high volatility regimes. Our findings have implications to investors and risk managers. Practically, findings imply evidence of predictability of the probability of gold implied volatility based on the lagged silver implied volatility across different quantiles. Another implication concerns a volatility-based trading strategy, especially during in tandem occurrence of high volatility regimes, which involves the simultaneous selling of an out-of-the money call and put with different strike prices on gold implied volatility." @default.
• W2896897569 created "2018-10-26" @default.
• W2896897569 creator A5017889282 @default.
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• W2896897569 date "2019-05-01" @default.
• W2896897569 modified "2023-09-27" @default.
• W2896897569 title "Conditional quantiles and tail dependence in the volatilities of gold and silver" @default.
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• W2896897569 doi "https://doi.org/10.1016/j.inteco.2018.10.001" @default.
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