Co-movements in commodity markets andimplications in diversification benefits
Year of publication: |
2020
|
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Authors: | Cai, Xiao Jing ; Fang, Zheng ; Youngho, Chang ; Tian, Shuairu ; Hamori, Shigeyuki |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 58.2020, 2, p. 393-425
|
Subject: | Wavelet coherence analysis | Sharp ratio | Crude oil | Precious metals | Agricultural commodities | Rohstoffmarkt | Commodity market | Rohstoffderivat | Commodity derivative | Portfolio-Management | Portfolio selection | Welt | World | Ölpreis | Oil price | Warenbörse | Commodity exchange | Rohstoffpreis | Commodity price | Zustandsraummodell | State space model | Erdöl | Petroleum | Volatilität | Volatility | Agrarpreis | Agricultural price | Edelmetall | Precious metal |
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