Title:On the time scale behavior of equity-commodity links : implications for portfolio management Author(s):BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi Salah; SJÖ, BoDate:2016Citation:
- Journal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46
Type:ArticleAbstract:We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity ...