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Wavelet domain correlation between the futures prices of natural gas and oil

  • Tonn, Victor Lux
  • Li, H.C.
  • McCarthy, Joseph
Registered author(s):

    This paper studies the relationship between futures prices of natural gas and oil. Using wavelet analysis, our research reveals that, throughout the sampled period: (1) the prices of natural gas futures and oil futures have high covariance at high frequencies but not so much at low frequencies; (2) an increase in financialization of commodities commensurate with investors search for yield results in higher covariance between the futures prices of natural gas and oil; and (3) the volatility of neither time series consistently leads the other even at high frequencies.

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    File URL: http://www.sciencedirect.com/science/article/B6W5X-50SGPKT-1/2/dbd57c5ed826186bc8f0039a2132c0ad
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 50 (2010)
    Issue (Month): 4 (November)
    Pages: 408-414

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    Handle: RePEc:eee:quaeco:v:50:y:2010:i:4:p:408-414
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    16. Cifter, Atilla & Ozun, Alper, 2007. "Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey," MPRA Paper 2483, University Library of Munich, Germany.
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