Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-25
We examine the time-frequency lead-lag relationships and the degree of integration between the US financial stress index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to December 2021). For this purpose, we resort to the bi- and...