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

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

This paper proposes to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that the authors do not do not impose the dependence structure but let the data select it.

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

Topics:  Financial markets

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

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