Kim, Min Jae; Kim, Sehyun; Jo, Yong Hwan; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3842-3854
Understanding the dependence structure between the commodity and stock markets is a crucial issue in constructing a portfolio. It can also help us to discover new opportunities to implement spread trading using multiple assets classified in the two different markets. This study analyzed the...