Delatte, Anne-Laure; Lopez, Claude - In: Journal of Banking & Finance 37 (2013) 12, pp. 5346-5356
In this paper, we propose to identify the dependence structure that exists between returns on equity and commodity futures and its development over the past 20years. The key point is that we do not impose any dependence structure, but let the data select it. To do so, we model the dependence...
