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Publication Year:
2022
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factor models
Simona Delle Chiaie
;
Laurent Ferrara
;
Domenico Giannone
Common factors of commodity prices (replication data)
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a...
DOI:10.15456/jae.2022327.072248
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