Correlations in Commodity Markets
نویسنده
چکیده
In this paper we analyzed cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the market was constantly getting more correlated within the investigated period.
منابع مشابه
Phd Course “commodity Markets and Derivatives” Norwegian University If Science and Technology, Trondheim
Commodity markets: overview, description and structure Commodity spot price models, their performance and calibration Forward curve modeling for commodities Modeling commodity price volatility Correlations/dependencies in commodity portfolios Modeling risk of a commodity portfolio Typical commodity derivatives (quanto, Asian, spread and basket options, volumetric and swing options...
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