Demiralay, Sercan; Ulusoy, Veysel - Volkswirtschaftliche Fakultät, … - 2014
In this paper, we analyze time-varying correlations between commodity markets and S&P 500 index, employing a recent and novel technique: asymmetric dynamic conditional correlation (ADCC) model. Using weekly data from January 3, 1992 to December 27, 2013, we provide evidence of highly volatile...