A Time-Varying Gerber Statistic: Application of a Novel Correlation Metric to Commodity Price Co-Movements
This study investigates the daily co-movements in commodity prices over the period 2006–2020 using a novel approach based on a time-varying Gerber correlation. The statistic is computed considering a set of probabilities estimated via non-traditional models that give a time-varying structure to the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-05-01
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| Series: | Forecasting |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-9394/3/2/22 |