Wavelet domain correlation between the futures prices of natural gas and oil
AbstractThis paper studies the relationship between futures prices of natural gas and oil. Using wavelet analysis, our research reveals that, throughout the sampled period: (1) the prices of natural gas futures and oil futures have high covariance at high frequencies but not so much at low frequencies; (2) an increase in financialization of commodities commensurate with investors search for yield results in higher covariance between the futures prices of natural gas and oil; and (3) the volatility of neither time series consistently leads the other even at high frequencies.
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Bibliographic InfoArticle provided by Elsevier in its journal The Quarterly Review of Economics and Finance.
Volume (Year): 50 (2010)
Issue (Month): 4 (November)
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Web page: http://www.elsevier.com/locate/inca/620167
Natural gas futures Oil futures Wavelet analysis Wavelet cross bicoherence Financialization Search for yield;
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