Dating common commodity price and inflation shocks with alternative approaches
This paper investigates the occurrence of common price shocks (co-exceedance) across different commodities. Instead of looking for a common Data Generating Process (DGP), the analysis considers two possible alternatives. The first looks for common volatility clusters trough individual GARCH models...
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| Format: | Article |
| Language: | English |
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Firenze University Press
2023-11-01
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| Series: | Bio-based and Applied Economics |
| Online Access: | https://oaj.fupress.net/index.php/bae/article/view/14060 |