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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
Department of Business Administration, University of Bremen, Germany.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2016 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 56, 374-383 p.Article in journal (Refereed) Published
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Abstract [en]

This paper provides a thorough analysis on multiscale dependence schemes between equity markets, commodity futures and uncertainty indexes. Based on decomposed return series, we provide an exhaustive survey on time varying dependence, before and after the outbreak of financial crisis. Although daily returns of equity markets and commodity futures are described by weak dependence, our results indicate a stronger dependence between the long-run trends of both asset classes.

Place, publisher, year, edition, pages
Elsevier, 2016. Vol. 56, 374-383 p.
Keyword [en]
Commodity prices, Policy uncertainty, Equity markets, Wavelet analysis, Copulas
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-130302DOI: 10.1016/j.eneco.2016.03.024ISI: 000378446600032OAI: oai:DiVA.org:liu-130302DiVA: diva2:950497
Available from: 2016-07-31 Created: 2016-07-28 Last updated: 2016-08-15Bibliographically approved

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Uddin, Gazi Salah
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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • Other style
More styles
Language
  • de-DE
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  • nn-NB
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Output format
  • html
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