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The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

Gao, Lin - 2015

This paper finds substantial risk diversification potential between certain commodity groups and stocks by exploring the dependence between their patterns of regime switching. None of the commodity groups share a common volatility regime with stocks, nor are the regime switching patterns of...

Persistent link: https://www.econbiz.de/10013037864

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