D'Antoni, Jeremy M.; Detre, Joshua D. - Southern Agricultural Economics Association - SAEA - 2013
farmland via an index of agribusiness stocks provides significant diversification benefits. We estimated the dependence between … daily returns of the S&P 500 and an index of agribusiness stocks from 1970 through 2008 using copulas. We find significant … evidence that agribusiness stocks have strong lower tail dependence with large U.S. stocks and are actually less correlated in …