The Excess Co-movement of Commodity Prices Reconsidered
AbstractThis paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1,1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed. Monthly time series data for two sample periods, 1960-85 and 1974-92, on up to nine commodities are used. In contrast to earlier work, only weak evidence of excess co-movement is found. Copyright 1996 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 11 (1996)
Issue (Month): 3 (May-June)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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