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" Commodities and equities : "
Bahattin Büyükşahin, Michael S. Haigh, and Michel A. Robe.
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BL
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| Record Number
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968252
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| Doc. No
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b722622
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| Main Entry
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Büyükşahin, Bahattin.
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| Title & Author
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Commodities and equities : : a "market of one"? /\ Bahattin Büyükşahin, Michael S. Haigh, and Michel A. Robe.
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| Publication Statement
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New York :: Nova Science,, ©2009.
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| Page. NO
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1 online resource (66 pages) :: illustrations (some color)
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| ISBN
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1617286699
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: 9781617286698
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1606920189
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9781606920183
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| Bibliographies/Indexes
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Includes bibliographical references (pages 61-62) and index.
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| Contents
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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.
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5.1. Summary Statistics5.2. Extreme Correlation Analysis; CONCLUSION; APPENDIX:SUPPLEMENTAL DATA; REFERENCES; INDEX.
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| Subject
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Price indexes.
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Stocks-- Prices.
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BUSINESS ECONOMICS-- Investments Securities-- Stocks.
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Price indexes.
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Stocks-- Prices.
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| Dewey Classification
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332.63/222
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| LC Classification
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HG4636.B89 2009eb
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| Added Entry
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Haigh, Michael S.
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Robe, Michel A.
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