Creti, Anna; Joëts, Marc; Mignon, Valérie - In: Energy Economics 37 (2013) C, pp. 16-28
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
