Predictability of structural co-movement in commodity prices: the role of technical indicators
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DOI: 10.1080/14697688.2016.1225977
Abstract: This paper investigates the financialization and structural co-movement of several commodity futures using factor variance decomposition and predictability of technical indicators and macro variables. We find that financialization is still a dominant player in the… read more here.
Keywords: predictability structural; movement commodity; technical indicators; structural movement ... See more keywords