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Wavelet Analysis of Commodity Price Behavior

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Author Info

  • Davidson, R.
  • Labys, W.C.
  • Lesourd, J.B.

Abstract

In this paper we propose a form of semi-nonparametric regression based on wavelet analysis, and demonstrate its empirical utility in the context of commodity price behavior.

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Bibliographic Info

Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 96b11.

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Length: 50 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:aixmeq:96b11

Contact details of provider:
Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Phone: 04.91.14.07.70
Fax: 04.91.90.02.27
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Web page: http://www.greqam.fr/
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Keywords: COMMODITIES; ECONOMETRICS;

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Cited by:
  1. 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.
  2. repec:wyi:journl:002097 is not listed on IDEAS
  3. Shinn-Juh Lin & Max Stevenson, 1999. "Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model," Research Paper Series 11, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
  5. repec:wyi:wpaper:001991 is not listed on IDEAS
  6. Huang, Shian-Chang, 2011. "Wavelet-based multi-resolution GARCH model for financial spillover effects," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2529-2539.
  7. Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, vol. 26(2), pages 392-403, March.
  8. 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.
  9. 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.
  10. repec:wyi:journl:002092 is not listed on IDEAS
  11. Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Working Papers 02-3, Bank of Canada.

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