Cross-market linkages between commodities, stocks and bonds

Ielpo, Florian; Chevallier, Julien

Ielpo, Florian; Chevallier, Julien (2013), Cross-market linkages between commodities, stocks and bonds, Applied Economics Letters, 20, 10, p. 1008-1018. http://dx.doi.org/10.1080/13504851.2013.772286

Type

Article accepté pour publication ou publié

Date

2013-07

Journal name

Applied Economics Letters

Volume

Number

Publisher

Taylor & Francis

Pages

1008-1018

Abstract (EN)

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011

Subjects / Keywords

Cross-market linkages; commodities; stocks; bonds; cointegration

JEL

C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C58 - Financial Econometrics
G10 - General
Q02 - Commodity Markets