The Excess Co-movement of Commodity Prices Reconsidered
The Excess Co-movement of Commodity Prices Reconsidered
复制标题
DOI：
10.1002/(sici)1099-1255(199605)11:3
复制
发表时间：
1996-05
影响因子：
2.1
通讯作者：
P. Deb;P. Trivedi;Panayotis N. Varangis
中科院分区：
文献类型：
--
作者：
P. Deb;P. Trivedi;Panayotis N. Varangis
本文在单变量和多变量GARCH（1，1）模型的框架内，对商品价格过度联动的证据进行了实证反思。替代制剂的零过剩的共同运动，并开发相应的分数和似然比检验。每月时间序列数据的两个样本期，1960-85年和1974-92年，多达9种商品。与早期的工作相反，只有微弱的证据过量的共同运动被发现。
This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1,1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed. Monthly time series data for two sample periods, 1960-85 and 1974-92, on up to nine commodities are used. In contrast to earlier work, only weak evidence of excess co-movement is found. Copyright 1996 by John Wiley & Sons, Ltd.