Futures Trading and the Excess Co-movement of Commodity Prices
Date
2018Dewey
MacroéconomieSujet
Commodity excess co-movement hypothesis; Factor model; Heteroscedasticity-corrected; correlation; Commodity index; Futures tradingJEL code
C.C2.C22; C.C3.C32; G.G1.G15; E.E1.E17Journal issue
Review of FinanceVolume
22Number
1Publication date
2018Article pages
381-418Publisher
Oxford University PressCollections
Metadata
Show full item recordAuthor
Le Pen, Yannick
255365 Laboratoire d'Economie de Dauphine [LEDa]
Sévi, Benoît
199934 Groupement de Recherche en Économie Quantitative d'Aix-Marseille [GREQAM]