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Co-movement of major commodity price returns : time-series assessment (英语)

摘要

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 based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate... 更多显示

详细

  • de Nicola, Francesca; De Pace, Pierangelo; Hernandez, Manuel A.;
  • 2014/04/01
  • 政策研究工作报告
  • WPS6845
  • 1
  • 1
  • 世界
  • 世界各地区
  • 2014/04/01
  • Disclosed
  • Co-movement of major commodity price returns : time-series assessment
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