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Yannick Le Pen, Benoît Sévi

Public reference bibliography and cataloged PDF materials authored or published by Yannick Le Pen, Benoît Sévi.

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Futures Trading and the Excess Co-movement of Commodity Prices

Year: 2018 • Source: hal.science • Listed PDF

We empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusti...