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Applied Economics Volume 49, 2017 - Issue 15
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Original Articles

Commodity currencies and commodity prices: modelling static and time-varying dependence

Katja IgnatievaSchool of Risk and Actuarial Studies, Business School, University of New South Wales, Sydney, AustraliaCorrespondence[email protected]
&
Natalia PonomarevaDepartment of Economics, Faculty of Business and Economics, Macquarie University, Sydney, Australia
Pages 1491-1512 | Published online: 22 Aug 2016

Citations (8)

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Read on this site (3)

Dony Abdul Chalid & Rangga Handika. (2022) Comovement and contagion in commodity markets. Cogent Economics & Finance 10:1.
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Emre Yıldırım & Mehmet Ali Cengiz. (2022) Modeling dependency between industry production and energy market via stochastic copula approach. Communications in Statistics - Simulation and Computation 51:4, pages 2006-2019.
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K. Malandala & J.O. Olaomi. (2020) ANALYSIS OF THE DEPENDENCE STRUCTURE BETWEEN MINERALS PRICES AND THE RAND/USD EXCHANGE RATE USING COPULAS. Studies in Economics and Econometrics 44:3, pages 73-107.
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Articles from other publishers (5)

Mehrad Asadi, Soheil Roudari, Aviral Kumar Tiwari & David Roubaud. (2023) Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy. Energy Economics 118, pages 106482.
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You-How Go & Wee-Yeap Lau. (2021) Extreme risk spillovers between crude palm oil prices and exchange rates. The North American Journal of Economics and Finance 58, pages 101513.
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Yiqun Ma & Junhao Wang. (2019) Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach. Resources Policy 63, pages 101471.
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Afees A. Salisu, Wasiu Adekunle, Wasiu A. Alimi & Zachariah Emmanuel. (2019) Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries. Resources Policy 62, pages 33-56.
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Wei Sun & Kuhelika De. (2019) REAL EXCHANGE RATE, MONETARY POLICY, AND THE U.S. ECONOMY: EVIDENCE FROM A FAVAR MODEL. Economic Inquiry 57:1, pages 552-568.
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