✦ LIBER ✦

Portfolio diversification and excess comovement in commodity prices

✍ Scribed by Ian Garrett; Nick Taylor

Book ID: 108550223
Publisher: John Wiley and Sons
Year: 2001
Tongue: English
Weight: 211 KB
Volume: 69
Category: Article
ISSN: 1463-6786
DOI: 10.1111/1467-9957.00252

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Fractional dynamics in international com

Fractional dynamics in international commodity prices

✍ Barkoulas, John; Labys, Walter C.; Onochie, Joseph 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 297 KB

Dependence in commodity prices: A commen

Dependence in commodity prices: A comment

✍ William O. Tomek 📂 Article 📅 1994 🏛 John Wiley and Sons 🌐 English ⚖ 390 KB

1 992), hereafter PMR, analyze the statistical properties of cash prices for 17 commodities. Their results are consistent with other studies which have found autocorrelation in commodity prices. For a literature review, see Tomek and Myers (1993). This author fears, however, that the introductory an

Autoregressive conditional heteroscedast

Autoregressive conditional heteroscedasticity in commodity spot prices

✍ Stacie Beck 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 132 KB

## Abstract Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected price variance is an explanatory variable in price regressions. Hypotheses were tested on price data of twenty com

Evidence of chaos in commodity futures p

Evidence of chaos in commodity futures prices

✍ Gregory P. Decoster; Walter C. Labys; Douglas W. Mitchell 📂 Article 📅 1992 🏛 John Wiley and Sons 🌐 English ⚖ 887 KB

Equilibrium pricing of futures contracts within the capital market -how are they related to the prices of other risky assets? This study is concerned with the second issue; specifically, whether there exists nonlinear dynamic structure and, in particular, chaotic structure in the behavior of future

SHORT-TERM CYCLES IN PRIMARY COMMODITY P

SHORT-TERM CYCLES IN PRIMARY COMMODITY PRICES

✍ Walter C. LABYS; Eugene KOUASSI; Michel TERRAZA 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 39 KB

Commodity Prices and the Dynamics of Inf

Commodity Prices and the Dynamics of Inflation in Commodity-Exporting Nations: Evidence from Australia and Canada

✍ HARRY BLOCH; A. MICHAEL DOCKERY; DAVID SAPSFORD 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 244 KB