Commodity price co-movement : heterogeneity and the time-varying impact of fundamentals
Joseph P. Byrne, Ryuta Sakemoto and Bing Xu
| Year of publication: |
2020
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|---|---|
| Authors: | Byrne, Joseph P. ; Sakemoto, Ryuta ; Xu, Bing |
| Published in: |
European review of agricultural economics. - Oxford : Oxford University Press, ISSN 1464-3618, ZDB-ID 1480706-3. - Vol. 47.2020, 2, p. 499-528
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/erae/jbz017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181739