Index
ABC (Alessi, Barigozzi and Capasso) criterion, factor analysis
abnormal returns
ADF (Augmented-Dickey-Fuller) unit root test
agricultural markets
cointegration
between agricultural commodities
industrial production
inflation EU
S&P 500
US M2 and inflation US
log of time series
reaction to economic news
tent-shaped regression
agriculture-energy linkage
oil and cocoa
oil and corn
oil and soybean
oil and wheat
aluminum
cointegration relationships
copper, lead, zinc and industrial production US
copper, nickel, zinc and lead
common risk factors
cross-commodities linkages
Granger causality tests
log of time series
reaction to economic news
spillovers
tent-shaped regression
unit root test results
AR (autoregressive) models see GARCH models; VAR models
arbitrage
ARMA (autoregressive moving average) models
with exogenous inputs (ARMAX)
exponential (EGARCH)
GARCH
Asia
2008 collapse in demand
copper price
oil and industrial metal prices
see also China
asset allocation
spillovers
strategies
traditional funds, correlation between
asset markets
cointegration analyses
exchange rates
S&P 500 and US 10-Year rate
asset prices, impact of price discovery on
asset pricing models
asymmetry
and leverage
news impact curve
Augmented-Dickey-Fuller (ADF) unit root test
Australia (AU)
business cycles and commodities performances
industrial production
autocorrelation
backwardation
balanced equity-bond portfolio
bear/bearish market
biofuels
Bloomberg
bonds
cointegration
investment strategies
risk factors ...
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