Co-movement of major commodity price returns: A time-series assessment
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 using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations...
| Autores principales: | , , |
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| Formato: | Artículo preliminar |
| Lenguaje: | Inglés |
| Publicado: |
International Food Policy Research Institute
2014
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/151250 |
| _version_ | 1855529000636514304 |
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| author | de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A. |
| author_browse | De Pace, Pierangelo Hernandez, Manuel A. de Nicola, Francesca |
| author_facet | de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A. |
| author_sort | de Nicola, Francesca |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | 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 using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations using a uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure. |
| format | Artículo preliminar |
| id | CGSpace151250 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | International Food Policy Research Institute |
| publisherStr | International Food Policy Research Institute |
| record_format | dspace |
| spelling | CGSpace1512502025-11-06T06:36:26Z Co-movement of major commodity price returns: A time-series assessment de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A. models commodities markets econometric models prices movement 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 using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations using a uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure. 2014 2024-08-01T02:56:12Z 2024-08-01T02:56:12Z Working Paper https://hdl.handle.net/10568/151250 en https://hdl.handle.net/10568/149816 https://hdl.handle.net/10568/154499 https://hdl.handle.net/10568/154364 https://hdl.handle.net/10568/161965 https://hdl.handle.net/10568/161999 Open Access application/pdf International Food Policy Research Institute de Nicola, Francesca; De Pace, Pierangelo and Hernandez, Manuel A. 2014. Co-movement of major commodity price returns: A time-series assessment. IFPRI Discussion Paper 1354. Washington, DC: International Food Policy Research Institute (IFPRI). https://hdl.handle.net/10568/151250 |
| spellingShingle | models commodities markets econometric models prices movement de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A. Co-movement of major commodity price returns: A time-series assessment |
| title | Co-movement of major commodity price returns: A time-series assessment |
| title_full | Co-movement of major commodity price returns: A time-series assessment |
| title_fullStr | Co-movement of major commodity price returns: A time-series assessment |
| title_full_unstemmed | Co-movement of major commodity price returns: A time-series assessment |
| title_short | Co-movement of major commodity price returns: A time-series assessment |
| title_sort | co movement of major commodity price returns a time series assessment |
| topic | models commodities markets econometric models prices movement |
| url | https://hdl.handle.net/10568/151250 |
| work_keys_str_mv | AT denicolafrancesca comovementofmajorcommoditypricereturnsatimeseriesassessment AT depacepierangelo comovementofmajorcommoditypricereturnsatimeseriesassessment AT hernandezmanuela comovementofmajorcommoditypricereturnsatimeseriesassessment |