The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
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- Nikolaos Antonakakis & Tsangyao Chang & Juncal Cunado & Rangan Gupta, 2016. "The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis," Working Papers 201619, University of Pretoria, Department of Economics.
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More about this item
KeywordsCommodity returns and flows; Granger causality; Nonlinearity; Time and frequency domains; Wavelet;
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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