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dc.contributor.authorHOMAYOUN BOROUMAND, Raphaël
dc.contributor.authorGOUTTE, Stéphane
dc.contributor.authorPORCHER, Simon
dc.contributor.authorPORCHER, Thomas
dc.date.accessioned2016-03-09T17:20:10Z
dc.date.available2016-03-09T17:20:10Z
dc.date.issued2014
dc.identifier.citationApplied economics letters, 2014, Vol. 21, No. 17, pp. 1238-1242
dc.identifier.issn1350-4851
dc.identifier.issn1466-4291
dc.identifier.urihttps://hdl.handle.net/1814/39451
dc.descriptionPublished online: 2 June 2014
dc.description.abstractThe 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.
dc.language.isoen
dc.relation.ispartofApplied economics letters
dc.relation.ispartofseries[Florence School of Regulation]en
dc.relation.ispartofseries[Energy]en
dc.titleCorrelation evidence in the dynamics of agricultural commodity prices
dc.typeArticle
dc.identifier.doi10.1080/13504851.2014.922742
dc.identifier.volume21
dc.identifier.startpage1238
dc.identifier.endpage1242
eui.subscribe.skiptrue
dc.identifier.issue17


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