Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach
(2023)
Journal Article
Xiao, Q., Zhang, D., & Yan, M. (2023). Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. International review of financial analysis, 89, Article 102743. https://doi.org/10.1016/j.irfa.2023.102743
Institutional investors have significantly increased their exposure to commodity futures after 2004 in the process of commodity market financialization, raising questions about the risk-sharing and
price-discovery functions of the market. We identi...
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