This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net transmitter of shocks in the network across all quartiles. The dynamic total connectedness is heterogeneous over time and driven by economic events. Interestingly, we see that the higher the quartile the more pronounced the net transmission mechanisms of realized volatilities. Notably, the net total directional and pairwise connectedness measures illustrate in most cases similar dynamics.

本文提出了一种新的分位数向量自回归扩展联合连通性框架，使用 2006 年 5 月 1 日至 2021 年 6 月 18 日的每日数据检查石油和贵金属商品之间的已实现波动溢出。我们的研究结果表明原油是冲击的主要净传递者在所有四分位数的网络中。动态总连通性随着时间的推移是异质的，并受经济事件的驱动。有趣的是，我们看到四分位数越高，已实现波动率的净传输机制就越明显。值得注意的是，在大多数情况下，净总方向和成对连通性度量说明了类似的动态。