Title Commodities and equities : a "market of one"? / Bahattin Büyükşahin, Michael S. Haigh, and Michel A. Robe

Published New York : Nova Science, ©2009

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Description 1 online resource (66 pages) : illustrations (some color) Contents 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 5.1. Summary Statistics5.2. Extreme Correlation Analysis; CONCLUSION; APPENDIX:SUPPLEMENTAL DATA; REFERENCES; INDEX Bibliography Includes bibliographical references (pages 61-62) and index Notes Print version record Subject Stocks -- Prices. Price indexes. BUSINESS & ECONOMICS -- Investments & Securities -- Stocks. Price indexes Stocks -- Prices Form Electronic book Author Haigh, Michael S Robe, Michel A ISBN 9781617286698 1617286699

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