liu.seSearch for publications in DiVA
Change search
ReferencesLink to record
Permanent link

Direct link
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) PublishedText
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

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Uddin, Gazi Salah
By organisation
EconomicsFaculty of Arts and Sciences
In the same journal
Energy Economics
Economics

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 34 hits
ReferencesLink to record
Permanent link

Direct link