Fousekis, Panos; Grigoriadis, Vasilis - In: Studies in Economics and Finance 36 (2019) 2, pp. 183-206
Purpose: This paper aims to investigate empirically the linkages between stock and commodity futures markets. Design/methodology/approach: It involves the application of a flexible copula approach to weekly total returns from the S&P 500 index and from three commodity sub-indices (agriculture,...