This dissertation focuses on three main themes related to precious metals markets with particular attention to: (1) the dynamics and causality between spot and forward precious metals, (2) the investment properties of precious metals as hedge, safe haven and diversification assets for G-7 equity markets and, (3) the impact of economic policy uncertainty (EPU) on the dependence between precious metals and BRICS equity markets. We first examine, in the first chapter, the dependence structure and the Granger causality in distribution (GCD) between spot and future returns of precious metals (gold, silver, and platinum) via copula modelling. This study considers the evidence on real precious metals returns from Jan 2, 2002 to Jan 13, 2017. Throughout literature, the use of copula in precious metals markets is still limited. Indeed, unlike linear methods, using a copula-based approach has several attractive advantages. Using static and dynamic copulas, we find that the dependence between the spot and the future returns of precious metals is relatively strong and time varying with a strong tail dependence for all pairs. Then, applying independence test based on the empirical copula, we detect a unidirectional GCD from future to spot precious metals market during normal times. This result means that past information from the future returns improves forecasts of spot returns. However, the causal relationship seems to be bidirectional in the case of gold and platinum during crisis periods. Our findings are important to investors for investigating hedging strategies since the efficacy of a hedging strategy is dependent on the price discovery mechanism. Hence, they should take the above findings into consideration to make optimal decisions, especially during periods of marked instability. The second chapter discusses the hedge, safe haven, and diversification properties of precious metals—namely gold, silver, and platinum—for the G-7 stock markets. Therefore, this study proposes a multivariate vine copula-based GARCH model to assess the hedge and safe haven properties of precious metals and a Bivariate Value at Risk-based copula (BiVaR) measure to analyse the diversification potential of precious metals. Our empirical results suggest that gold is the strongest hedge and safe haven asset in almost all the G-7 stock markets. Whereas silver and platinum results show that they may act as weak hedge assets. Results of safe haven analyses show that silver bears the potential of a strong safe haven role only for Germany’s and Italy’s stock markets; however, platinum provides a weak safe haven role for most developed stock markets. Finally, precious metals appear as interesting assets for diversifying a portfolio for G-7 stock markets investors. Overall, our findings provide noteworthy practical implication for investors. The last chapter investigates the impact of the Economic Policy Uncertainty (EPU) on the quantile dependence between precious metals and BRICS stock markets. Applying the cross-quantilogram approach, our results lead to the following findings. First, we provide evidence that gold is a perfect hedge in Russia and India. While silver and platinum may be seen as hedge assets only in the China stock market. Adding to that, over the entire sample period, we find that extreme negative stock market returns were followed by extreme positive gold returns for all stock markets except for Brazil and China. Hence, gold is not a safe haven in these stock markets. However, silver is a safe haven only in China stock market and platinum is a safe haven in China and South Africa stock markets. Second, the estimation results of the partial cross-quantilogram (PCQ) reveal that the dependence structure across quantiles is found to be consistent, even after controlling for EPU.