Počet záznamů: 1
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
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SYSNO ASEP 0367037 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis Tvůrce(i) Vácha, Lukáš (UTIA-B) RID
Baruník, Jozef (UTIA-B) RID, ORCIDCelkový počet autorů 2 Zdroj.dok. Energy Economics. - : Elsevier - ISSN 0140-9883
Roč. 34, č. 1 (2012), s. 241-247Poč.str. 7 s. Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Correlation ; Co-movement ; Wavelet analysis ; Wavelet coherence Vědní obor RIV AH - Ekonomie CEP GA402/09/0965 GA ČR - Grantová agentura ČR GD402/09/H045 GA ČR - Grantová agentura ČR GAP402/10/1610 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000300753300025 EID SCOPUS 84856055942 DOI 10.1016/j.eneco.2011.10.007 Anotace In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data. A major part of economic time series analysis is done in the time or frequency domain separate- ly. Wavelet analysis combines these two fundamental approaches allowing study of the time series in the time-frequency domain. Using this framework, we propose a new, model-free way of estimating time- varying correlations. In the empirical analysis, we connect our approach to the dynamic conditional correla- tion approach of Engle (2002) on the main components of the energy sector. Namely, we use crude oil, gas- oline, heating oil, and natural gas on a nearest-future basis over a period of approximately 16 and 1/2 years beginning on November 1, 1993 and ending on July 21, 2010. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2012
Počet záznamů: 1