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Cross-market linkages between commodities, stocks and bonds

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
Nom de la revue
Applied Economics Letters
Volume
20
Numéro
10
Éditeur
Taylor & Francis
Pages
1008-1018
Identifiant publication
Métadonnées
Afficher la notice complète
Auteur(s)
Ielpo, Florian
Chevallier, Julien
Résumé (EN)
This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011
Mots-clés
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