Correlations in Commodity Markets

نویسنده

  • Janusz A. Hołyst
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.

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تاریخ انتشار 2008