Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142291
Authors: 
Behmiri, Niaz Bashiri
Manera, Matteo
Nicolini, Marcella
Year of Publication: 
2016
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 17.2016
Abstract: 
We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis.
Subjects: 
Multivariate GARCH
Dynamic Conditional Correlations
Future Markets
Commodities
JEL: 
Q42
Q11
C32
Document Type: 
Working Paper

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