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Analysis of the Time-frequency Connectedness between Gold Prices, Oil Prices and Hungarian Financial Markets

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  • Ngo Thai Hung

    (University of Finance-Marketing, Ho Chi Minh, Vietnam.)

Abstract

We study the time-frequency connectedness between the global commodities markets (crude oil and gold) and Hungary s equity markets (stock and exchange rate) by using the multivariate generalized autoregressive conditional heteroskedasticity dynamic conditional correlation DCC-GARCH model alongside with the wavelet coherence analysis. Results of this paper highlight the long-term time-varying intercorrelations between the global commodities markets and Hungarian financial markets. Additionally, the estimations of wavelet coherence indicate that the commodities markets have a significant impact on the Hungarian financial markets in the short term, but stock and exchange markets influence crude oil and gold markets in the long run. Our empirical results shed light on the commodity-finance sectors connectedness, which is able to help investors minimize risks to build discretionary portfolios.

Suggested Citation

  • Ngo Thai Hung, 2020. "Analysis of the Time-frequency Connectedness between Gold Prices, Oil Prices and Hungarian Financial Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 51-59.
    • Handle: RePEc:eco:journ2:2020-04-8
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    References listed on IDEAS

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    More about this item

    Keywords

    oil price; gold price; stock market; exchange rate; DCC-GARCH; wavelet technique; Hungary.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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