The excess co‐movement of commodity prices reconsidered
在单变量和多变量GARCH模型框架下重新检验商品价格的过度联动性，发现只有微弱证据支持该现象。
This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed. Monthly time series data for two sample periods, 1960–85 and 1974–92, on up to nine commodities are used. In contrast to earlier work, only weak evidence of excess co-movement is found.