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Commodities and Equities

Autor Bahattin Buyukahin, Michael S. Haigh, Michel A. Robe
en Limba Engleză Paperback – 12 mai 2009
Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive co-integration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.
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Specificații

ISBN-13: 9781606920183
ISBN-10: 1606920189
Pagini: 66
Ilustrații: tables & charts
Dimensiuni: 156 x 226 x 7 mm
Greutate: 0.16 kg
Ediția:New.
Editura: Nova Science Publishers Inc

Cuprins

Preface; Introduction; Data and descriptive statistics; Short-term Co-Movements; Long-term Co-Movements; Extreme Events; Conclusion; Index.