Commodity and Equity Markets: Some Stylized Facts from a Copula Approach

Anne-Laure Delatte, Claude Lopez, Sun, 07/14/2013

a

A

Vox readers can download CEPR Discussion Paper 9558 for free here.

Journalists are entitled to free DP downloads on request; please contact pressoffice@cepr.org. To learn more about subscribing to CEPR's Discussion Paper Series, please visit the CEPR website.

URL:  http://www.cepr.org/pubs/dps/DP9558

Topics:  Financial markets

Tags:  equity market, comovement, tail-dependence, time-varying, Copula, commodity market