Commodities and equities : a "market of one"? /

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Büyükşahin, Bahattin
Other Authors: Haigh, Michael S., Robe, Michel A.
Format: Electronic eBook
Language:Inglés
Published: New York : Nova Science, ©2009.
Subjects:
Stocks > Prices.
Price indexes.
Actions (Titres de société) > Prix.
Indice des prix.
BUSINESS & ECONOMICS > Investments & Securities > Stocks.
Online Access:Texto completo
Table of Contents:
  • COMMODITIES AND EQUITIES:A ""MARKET OF ONE""?; CONTENTS; PREFACE; INTRODUCTION; DATA AND DESCRIPTIVESTATISTICS; 2.1. Returns Data; 2.2. Returns on Equity and Commodity Indices:Summary Statistics; 2.3. Simple Cross-Asset Correlations: Returnsand Return Volatilities; 2.4. Returns on Specific Categories of Commodities; 2.4.1. Summary Statistics; 2.4.2. Simple Correlations; SHORT-TERM CO-MOVEMENTS; 3.1. Methodology; 3.2. Equities and Commodities; 3.3. Commodity Sub-Indices; LONG-TERM CO-MOVEMENTS; 4.1. Cointegration Analysis; 4.2. Recursive Cointegration Analysis; EXTREME EVENTS.
  • 5.1. Summary Statistics5.2. Extreme Correlation Analysis; CONCLUSION; APPENDIX:SUPPLEMENTAL DATA; REFERENCES; INDEX.

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