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Commodity price co-movement : heterogeneity and the time-varying impact of fundamentals

Joseph P. Byrne, Ryuta Sakemoto and Bing Xu
Year of publication:
2020
Authors: Byrne, Joseph P. ; Sakemoto, Ryuta ; Xu, Bing
Subject: commodity prices | co-movement | dynamic hierarchical factor models | time-varying parameter factor augmented VAR models | VAR-Modell | VAR model | Rohstoffpreis | Commodity price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Welt | World | Faktorenanalyse | Factor analysis | Schock | Shock | Theorie | Theory
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