This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Wavelet Transforms and Commodity Prices

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jeff Connor (Ohio University)
Rosemary Rossiter (Ohio University)

Additional information is available for the following registered author(s):

Abstract

Traders in commodity markets may have different time horizons. This paper uses a scale analysis to investigate heterogeneous trading in such markets. Estimates are presented for price correlations by scale and long memory in the volatility of commodity prices. Wavelet variance is estimated using non-decimated wavelet transforms. Wavelets have the potential to be a useful tool for scale analysis in economics.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1170&context=snde
File Format: application/pdf
File Function:
Download Restriction: Subscription to the journal may be required to access full texts.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 9 (2005)
Issue (Month): 1 ()
Pages: 1170-1170
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bep:sndecm:9:2005:1:1170-1170

Note: oai:bepress:snde-1170
Contact details of provider:
Web page: http://www.bepress.com/snde/

Order Information:
Web: http://www.bepress.com/subscriptions.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: non-decimated wavelet transform wavelet variance wavelet covariance scale analysis

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June. [Downloadable!] (restricted)
  2. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July. [Downloadable!] (restricted)
    Other versions:
  3. Ramsey, James B, 1999. "Regression over Timescale Decompositions: A Sampling Analysis of Distributional Properties," Economic Systems Research, Taylor and Francis Journals, vol. 11(2), pages 163-83, June.
  4. Deb, Partha & Trivedi, Pravin K & Varangis, Panayotis, 1996. "The Excess Co-movement of Commodity Prices Reconsidered," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 275-91, May-June. [Downloadable!] (restricted)
  5. Serena Ng & Francisco J. Ruge-Murcia, 2000. "Explaining the Persistence of Commodity Prices," Computational Economics, Springer, vol. 16(1/2), pages 149-171, October. [Downloadable!]
    Other versions:
  6. Davidson, Russell & Labys, Walter C & Lesourd, Jean-Baptiste, 1998. "Wavelet Analysis of Commodity Price Behavior," Computational Economics, Springer, vol. 11(1-2), pages 103-28, April. [Downloadable!]
    Other versions:
  7. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)
  8. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
    Other versions:
  9. Paul Cashin & Hong Liang & C. John McDermott, 1999. "How Persistent Are Shocks to World Commodity Prices?," IMF Working Papers 99/80, International Monetary Fund.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Viviana Fernandez, 2005. "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(4), pages 1328-1328. [Downloadable!] (restricted)
    Other versions:
Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2008-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.