Commodity returns co-movements: Fundamentals or "style" effect?
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- Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016. "Commodity returns co-movements: Fundamentals or “style” effect?," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 130-160.
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Cited by:
- Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
- Maghyereh, Aktham & Abdoh, Hussein, 2020. "The tail dependence structure between investor sentiment and commodity markets," Resources Policy, Elsevier, vol. 68(C).
- Yang, Baochen & Pu, Yingjian & Su, Yunpeng, 2020. "The financialization of Chinese commodity markets," Finance Research Letters, Elsevier, vol. 34(C).
- Liu, Lu & Zhang, Xiang, 2019. "Financialization and commodity excess spillovers," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 195-216.
- de Boyrie Maria E. & Pavlova Ivelina, 2018. "Equities and Commodities Comovements: Evidence from Emerging Markets," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-14, September.
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More about this item
Keywords
Financialization; Style effect; Commodities; Cross-market linkages; Financial crisis; RSDC model;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2015-08-19 (Agricultural Economics)
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