| 来源类型 | FEEM working papers "Note di lavoro" series
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| 规范类型 | 论文
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| Understanding Dynamic Conditional Correlations between Commodities Futures Markets |
| Niaz Bashiri Behmiri; Matteo Manera; Marcella Nicolini
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| 发表日期 | 2016
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| 出处 | Energy Scenarios and Policy
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| 出版年 | 2016
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| 语种 | 英语
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| 摘要 | We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis.
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Suggested citation: Behmiri, N. B., M. Manera, M. Nicolini, (2016), 'Understanding Dynamic Conditional Correlations between Commodities Futures Markets', Nota di Lavoro 17.2016, Milan, Italy: Fondazione Eni Enrico Mattei |
| 特色分类 | Q42;Q11;C32
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| 关键词 | Multivariate GARCH
Dynamic Conditional Correlations
Future Markets
Commodities
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| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/understanding-dynamic-conditional-correlations-between-commodities-futures-markets/
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| 来源智库 | Fondazione Eni Enrico Mattei (Italy)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118469
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推荐引用方式
GB/T 7714 |
Niaz Bashiri Behmiri,Matteo Manera,Marcella Nicolini. Understanding Dynamic Conditional Correlations between Commodities Futures Markets. 2016.
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20162291141474NDL2016-017.pdf
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