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Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

SYSNO ASEP	0367037
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Author(s)	Vácha, Lukáš (UTIA-B)_RID Baruník, Jozef (UTIA-B)_{RID, ORCID}
Number of authors	2
Source Title	Energy Economics. - : Elsevier - ISSN 0140-9883 Roč. 34, č. 1 (2012), s. 241-247
Number of pages	7 s.
Language	eng - English
Country	NL - Netherlands
Keywords	Correlation ; Co-movement ; Wavelet analysis ; Wavelet coherence
Subject RIV	AH - Economics
R&D Projects	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
	GAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000300753300025
EID SCOPUS	84856055942
DOI	10.1016/j.eneco.2011.10.007
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2012

Number of the records: 1