Co-Movement of Major Commodity Price Returns : Time-Series Assessment

This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a mult...

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Bibliographic Details
Main Authors: de Nicola, Francesca, De Pace, Pierangelo, Hernandez, Manuel A.
Format: Policy Research Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2014
Subjects:
Online Access:http://documents.worldbank.org/curated/en/2014/04/19446026/co-movement-major-commodity-price-returns-time-series-assessment
http://hdl.handle.net/10986/18326

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