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Keywords: Co-movement
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Journal Articles
Journal Articles
Journal Articles
Studies in Economics and Finance (2019) 36 (2): 183–206.
Published: 15 April 2019
... three commodity sub-indices (agriculture, metals and energy) from 1995 to 2017. Findings Co-movement is by no means frequent and symmetric. It was predominantly zero before the last financial crisis, and since then, it is positive and asymmetric. The pattern of asymmetry is consistent...

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