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Wavelet Transforms and Commodity Prices

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  • Connor Jeff

    ()
    (Ohio University)

  • Rossiter Rosemary

    ()
    (Ohio University)

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    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.

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    File URL: http://www.degruyter.com/view/j/snde.2005.9.1/snde.2005.9.1.1170/snde.2005.9.1.1170.xml?format=INT
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    Bibliographic Info

    Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

    Volume (Year): 9 (2005)
    Issue (Month): 1 (March)
    Pages: 1-22

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    Handle: RePEc:bpj:sndecm:v:9:y:2005:i:1:n:6

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    Cited by:
    1. Vacha, Lukas & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2013. "Time–frequency dynamics of biofuel–fuel–food system," Energy Economics, Elsevier, vol. 40(C), pages 233-241.
    2. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    3. Kriechbaumer, Thomas & Angus, Andrew & Parsons, David & Rivas Casado, Monica, 2014. "An improved wavelet–ARIMA approach for forecasting metal prices," Resources Policy, Elsevier, vol. 39(C), pages 32-41.
    4. Fernandez, Viviana, 2009. "The behavior of stock returns in the mining industry following the Iraq war," Research in International Business and Finance, Elsevier, vol. 23(3), pages 274-292, September.
    5. Fernandez, Viviana & Lucey, Brian M., 2007. "Portfolio management under sudden changes in volatility and heterogeneous investment horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 612-624.
    6. Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
    7. Fernandez, Viviana, 2006. "Does domestic cooperation lead to business-cycle convergence and financial linkages?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 369-396, July.
    8. Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
    9. Lukas Vacha & Jozef Barunik, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Papers 1201.4776, arXiv.org.
    10. Fernandez, Viviana, 2006. "The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11," Economic Systems, Elsevier, vol. 30(1), pages 79-97, March.
    11. Fernandez, Viviana, 2008. "The war on terror and its impact on the long-term volatility of financial markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 1-26.
    12. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
    13. Haven, Emmanuel & Liu, Xiaoquan & Ma, Chenghu & Shen, Liya, 2009. "Revealing the implied risk-neutral MGF from options: The wavelet method," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 692-709, March.
    14. Fernandez, Viviana, 2010. "Commodity futures and market efficiency: A fractional integrated approach," Resources Policy, Elsevier, vol. 35(4), pages 276-282, December.
    15. Fernandez, Viviana, 2007. "Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry," Resources Policy, Elsevier, vol. 32(1-2), pages 80-89.

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