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A factor model for co-movements of commodity prices · Study

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ArticleA factor model for co-movements of commodity prices

Kenneth D. West2013

Article2013

A factor model for co-movements of commodity prices

Kenneth D. West · Ka-fu Wong

84 citations·0/0 files stored·Journal of International Money and Finance

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1994Automatic Lag Selection in Covariance Matrix Estimation 1996Asymptotic Inference about Predictive Ability 2010Index Investment and Financialization of Commodities 2009Commodity prices, interest rates and the dollar 1995Automatic Lag Selection in Covariance Matrix Estimation 2007Oil spills on other commodities 2013Super Cycles of Commodity Prices Since the Mid-Nineteenth Century 2005Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

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2021Common factors of commodity prices

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Year2013

Typearticle

Published2013-10-17

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations84

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jimonfin.2013.08.016

openalex_workW2039675248

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