Commodity price co-movement : heterogeneity and the time-varying impact of fundamentals
Year of publication: |
2020
|
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Authors: | Byrne, Joseph P. ; Sakemoto, Ryuta ; Xu, Bing |
Published in: |
European review of agricultural economics. - Oxford : Oxford University Press, ISSN 1464-3618, ZDB-ID 1480706-3. - Vol. 47.2020, 2, p. 499-528
|
Subject: | commodity prices | co-movement | dynamic hierarchical factor models | time-varying parameter factor augmented VAR models | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Rohstoffpreis | Commodity price | Welt | World | Schock | Shock | Preiskonvergenz | Price convergence | Faktorenanalyse | Factor analysis |
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