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A factor model for co-movements of commodity prices

West, Kenneth D.; Wong, Ka-fu - In: Journal of international money and finance 42 (2014), pp. 289-309

Persistent link: https://www.econbiz.de/10010372655

Global vs sectoral factors and the impact of the financialization in commodity price changes

Poncela, Pilar; Senra, Eva; Sierra, Lya Paola - In: Open economies review 31 (2020) 4, pp. 859-879

Persistent link: https://www.econbiz.de/10012302148

A Bayesian nonparametric investigation of the predictive effect of exchange rates on commodity prices

Jin, Xin - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 179-210

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Forecasting equity index volatility by measuring the linkage among component stocks

Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186

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On the use of spectral value decomposition for the construction of composite indices

Farnia, Luca - 2019

High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...

Persistent link: https://www.econbiz.de/10011999119