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Partha Deb
;
Pravin K. Trivedi
;
Panayotis N. Varangis

the excess co-movement of commodity prices reconsidered (replication data)

This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed. Monthly time series data for two sample periods, 1960-85 and 1974-92, on up to nine commodities are used. In contrast to earlier work, only weak evidence of excess co-movement is found.

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Deb, Partha; Trivedi, Pravin K.; Varangis, Panayotis N. (1996): The excess co-movement of commodity prices reconsidered (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022313.1132968150

Related Publication

Deb, P., Trivedi, P. and Varangis, P. (1996), The Excess Co-Movement Of Commodity Prices Reconsidered, Journal of Applied Econometrics, 11(3), 275-291. https://doi.org/10.1002/(sici)1099-1255(199605)11:3<275::aid-jae392>3.0.co;2-3

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