Increasing Trends in the Excess Comovement of Commodity Prices
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- Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016. "Increasing trends in the excess comovement of commodity prices," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 48-64.
- OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers 13048, Research Institute of Economy, Trade and Industry (RIETI).
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- repec:eee:energy:v:166:y:2019:i:c:p:577-586 is not listed on IDEAS
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- Bao H. NGUYEN & OKIMOTO Tatsuyoshi & Trung Duc TRAN, 2019. "Uncertainty-Dependent and Sign-Dependent Effects of Oil Market Shocks," Discussion papers 19042, Research Institute of Economy, Trade and Industry (RIETI).
- Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.
More about this item
Keywordsexcess comovement; commodity return; time-varying correlation; smooth transition; regime change; financialization;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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