A wavelet analysis of oil price volatility dynamic
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References listed on IDEAS
- Virginie Coudert & Valérie Mignon & Alexis Penot, 2008. "Oil Price and the Dollar," Post-Print halshs-00353404, HAL.
- Benassy-Quere, Agnes & Mignon, Valerie & Penot, Alexis, 2007.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Benhmad, François, 2012. "Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach," Economic Modelling, Elsevier, vol. 29(4), pages 1505-1514.
- Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
- Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
- Madaleno, Mara & Pinho, Carlos, 2014. "Wavelet dynamics for oil-stock world interactions," Energy Economics, Elsevier, vol. 45(C), pages 120-133.
More about this item
KeywordsCausality; Wavelet decomposition; oil price volatility;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
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