Co-movement of major commodity price returns: A time-series assessment

Francesca de Nicola, Pierangelo De Pace and Manuel Hernandez

No 1354, IFPRI discussion papers from International Food Policy Research Institute (IFPRI)

Abstract: 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.

Keywords: models; commodities; markets; econometric models; prices; movement (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://hdl.handle.net/10568/151250

Related works:
Working Paper: Co-movement of major commodity price returns: time-series assessment (2014)
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:fpr:ifprid:1354

Access Statistics for this paper

More papers in IFPRI discussion papers from International Food Policy Research Institute (IFPRI) Contact information at EDIRC.
Bibliographic data for series maintained by ().