The Excess Co-movement of Commodity Prices Reconsidered

Partha Deb, Pravin Trivedi and Panayotis Varangis

Journal of Applied Econometrics, 1996, vol. 11, issue 3, 275-91

Abstract: This 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.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (82)

Downloads: (external link)
http://links.jstor.org/sici?sici=0883-7252%2819960 ... 0.CO%3B2-H&origin=bc full text (application/pdf)
http://qed.econ.queensu.ca:80/jae/1996-v11.3/ Supporting data files and programs (text/html)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:11:y:1996:i:3:p:275-91

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().