On the correlation between commodity and equity returns : implications for portfolio allocation
by Marco Lombardi and Francesco Ravazzolo
| Year of publication: |
2013
|
|---|---|
| Authors: | Lombardi, Marco ; Ravazzolo, Francesco |
| Publisher: |
[Basel] : Bank for Internat. Settlements |
| Subject: | Commodity prices | Equity prices | Density forecasting | Correlation | Bayesian DDC | Korrelation | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Rohstoffpreis | Commodity price | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | Theorie | Theory |
freely available
| Extent: | 32 S. graph. Darst. 30 cm |
|---|---|
| Series: | BIS working papers. - Basle, ISSN 1020-0959, ZDB-ID 1482126-6. - Vol. 420 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Parallel als Online-Ausg. erschienen |
| Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications ; E17 - Forecasting and Simulation ; G17 - Financial Forecasting |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009782578