Comovement and contagion in commodity markets
This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating multinom...
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| 主要な著者: | , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Taylor & Francis Group
2022-12-01
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| シリーズ: | Cogent Economics & Finance |
| 主題: | |
| オンライン･アクセス: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2064079 |
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