Fernández-Avilés, Gema; Montero, José-María; … - In: The European journal of finance 26 (2020) 12, pp. 1207-1237
We analyze the co-movement of a number of commodity markets in extreme financial episodes worldwide. More specifically, we provide extreme downside risk co-movement maps of these markets during six recent distress periods. We follow an expected shortfall-multidimensional scaling approach, which...