The excess co‐movement of commodity prices reconsidered
P Deb, PK Trivedi, P Varangis - Journal of Applied …, 1996 - Wiley Online Library
P Deb, PK Trivedi, P Varangis
Journal of Applied Econometrics, 1996•Wiley Online LibraryThis 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.
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.
Abstract
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.
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