Chalid, Dony Abdul; Handika, Rangga - In: Cogent economics & finance 10 (2022) 1, pp. 1-27
This article investigates comovement and contagions in the commodities markets. We examine the comovement by analyzing the unconditional correlation coefficients. We document that commodities tend to partially integrate. We perform contagion tests by identifying coexceedances and estimating...
