Correlation evidence in the dynamics of agricultural commodity prices
| Autor: | Thomas Porcher, Stéphane Goutte, Simon Porcher, Raphaël Homayoun Boroumand |
|---|---|
| Přispěvatelé: | Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), IAE Paris - Sorbonne Business School, ESG Research Lab, ESG Management School, Centre National de la Recherche Scientifique (CNRS)-Université Paris Diderot - Paris 7 (UPD7)-Université Pierre et Marie Curie - Paris 6 (UPMC) |
| Rok vydání: | 2014 |
| Předmět: |
JEL: C - Mathematical and Quantitative Methods
2. Zero hunger Strategic asset allocation Economics and Econometrics Agricultural commodity [QFIN]Quantitative Finance [q-fin] Financial economics business.industry [SHS.ECO]Humanities and Social Sciences/Economics and Finance JEL: G - Financial Economics [SHS]Humanities and Social Sciences ComputingMilieux_GENERAL Correlation Intermediary Agriculture JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics Principal component analysis Economics Volatility (finance) business ComputingMilieux_MISCELLANEOUS |
| Zdroj: | Applied Economics Letters Applied Economics Letters, 2014, 21 (17), pp.1238-1242. ⟨10.1080/13504851.2014.922742⟩ Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2014, 21 (17), pp.1238-1242. ⟨10.1080/13504851.2014.922742⟩ |
| ISSN: | 1466-4291 1350-4851 |
| DOI: | 10.1080/13504851.2014.922742 |
| Popis: | Published online: 2 June 2014 The article studies the correlation structures of a large panel of agricultural commodities prices between January 1990 and February 2014. We use a various collection of mathematical and statistical methodologies (estimated correlation matrix and principal component analysis) to capture these correlations. Our results show that there exist different degrees of correlation between commodities. We also demonstrate, through data mining analysis, that there are hidden correlations between some commodities. Indeed, some commodities' price behaviours are very similar in trend. Our results contribute to a better understanding of agricultural prices’ behaviours by producers, investors and market intermediaries. The results contribute to a more efficient strategic asset allocation process within agricultural markets. |
| Databáze: | OpenAIRE |
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