Common dynamic factors in driving commodity prices : implications of a generalized dynamic factor model
Yusho Kagraoka
| Year of publication: |
January 2016
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|---|---|
| Authors: | Kagraoka, Yusho |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 52.2016, part B, p. 609-617
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| Subject: | Commodity prices | Co-movements | Spillover effects | Generalized dynamic factor models | Rohstoffpreis | Commodity price | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schock | Shock | Dynamische Wirtschaftstheorie | Economic dynamics | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.10.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011642937