Delatte, Anne-Laure; Lopez, Claude - C.E.P.R. Discussion Papers - 2013
In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity … but let the data select it. To do so, we model the dependence between commodity (metal, agriculture and energy) and stock … three major stylized facts. First, we find that the dependence between commodity and stock markets is time varying …