Počet záznamů: 1

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

  1. 1.
    0367037 - UTIA-B 2012 RIV NL eng J - Článek v odborném periodiku
    Vácha, Lukáš - Baruník, Jozef
    Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis.
    Energy Economics. Roč. 34, č. 1 (2012), s. 241-247 ISSN 0140-9883
    Grant CEP: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GAP402/10/1610
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Correlation * Co-movement * Wavelet analysis * Wavelet coherence
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 2.538, rok: 2012

    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.
    Trvalý link: http://hdl.handle.net/11104/0201831