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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

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  • Berger, Theo
  • Uddin, Gazi Salah

Abstract

This paper provides a thorough analysis on multiscale dependence schemes between equity markets, commodity futures and uncertainty indexes. Based on decomposed return series, we provide an exhaustive survey on time varying dependence, before and after the outbreak of financial crisis.

Suggested Citation

  • Berger, Theo & Uddin, Gazi Salah, 2016. "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, vol. 56(C), pages 374-383.
    • Handle: RePEc:eee:eneeco:v:56:y:2016:i:c:p:374-383
    DOI: 10.1016/j.eneco.2016.03.024
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Commodity prices; Policy uncertainty; Equity markets; Wavelet analysis; Copulas;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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