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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

Theo Berger and Gazi Uddin ()

Energy Economics, 2016, vol. 56, issue C, 374-383

Abstract: This paper provides a thorough analysis on multiscale dependence schemes between equity markets, commodity futures and uncertainty indexes. Based on decomposed return series, we provide an exhaustive survey on time varying dependence, before and after the outbreak of financial crisis.

Keywords: Commodity prices; Policy uncertainty; Equity markets; Wavelet analysis; Copulas (search for similar items in EconPapers)
JEL-codes: C31 C58 G13 G23 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:56:y:2016:i:c:p:374-383

DOI: 10.1016/j.eneco.2016.03.024

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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