Comovements in Commodity Markets : A Minimum Spanning Tree Analysis

We examine the interrelationships between a large number of commodity series over a 20 year period through the use of minimum spanning trees. We find that there are several distinct clusters, that these are reasonably stable over time, and that the degree of interlinkage is time varying

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Year of publication:	2011
Authors:	Lucey, Brian M.
Other Persons:	Gilmore, Claire G. (contributor) ; Boscia, Marian (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Rohstoffmarkt \| Commodity market \| Graphentheorie \| Graph theory

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2011 erstellt
Other identifiers:	10.2139/ssrn.1927811 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; F30 - International Finance. General ; F40 - Macroeconomic Aspects of International Trade and Finance. General ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013120566