West, Kenneth D.; Wong, Ka-Fu - In: Journal of International Money and Finance 42 (2014) C, pp. 289-309
We fit a factor model to two monthly panels of deflated prices of energy, metals and agricultural commodities. Prices consistently display a tendency to revert towards the factor, though the speed of reversion to the factor is slow. Using both in- and out-of-sample metrics, we compare the factor...