Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/142291 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Nota di Lavoro No. 17.2016
Verlag: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Zusammenfassung: 
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.
Schlagwörter: 
Multivariate GARCH
Dynamic Conditional Correlations
Future Markets
Commodities
JEL: 
Q42
Q11
C32
Dokumentart: 
Working Paper

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