Co-movement of major commodity price returns: A time-series assessment

Released on by de Nicola, Francesca
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  • Co-movement of major commodity price returns: A time-series assessment Book Detail

  • Author : de Nicola, Francesca
  • Release Date : 2014-06-13
  • Publisher : Intl Food Policy Res Inst
  • Genre : Social Science
  • Pages : 44
  • ISBN 13 :
  • File Size : 71,71 MB
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Co-movement of major commodity price returns: A time-series assessment by de Nicola, Francesca PDF Summary

Book Description: This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural, and food commodities using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations using a uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure.

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