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Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain

Author

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  • Lahmiri, Salim
  • Uddin, Gazi Salah
  • Bekiros, Stelios

Abstract

We propose a general framework for measuring short and long term dynamics in asset classes based on the wavelet presentation of clustering analysis. The empirical results show strong evidence of instability of the financial system aftermath of the global financial crisis. Indeed, both short and long-term dynamics have significantly changed after the global financial crisis. This study provides an interesting insights complex structure of global financial and economic system.

Suggested Citation

  • Lahmiri, Salim & Uddin, Gazi Salah & Bekiros, Stelios, 2017. "Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 947-955.
  • Handle: RePEc:eee:phsmap:v:486:y:2017:i:c:p:947-955
    DOI: 10.1016/j.physa.2017.06.012
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    1. repec:eee:phsmap:v:516:y:2019:i:c:p:254-266 is not listed on IDEAS
    2. repec:eee:phsmap:v:503:y:2018:i:c:p:105-115 is not listed on IDEAS

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