کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7375264 1480070 2018 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Oil-gold time varying nexus: A time-frequency analysis
ترجمه فارسی عنوان
زمان طلای نفتی متفاوت است: تجزیه و تحلیل فرکانس زمان
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
This paper analyzes the time varying nexus for oil-goldpairwise by employing the dynamic conditional correlation generalized multivariate autoregressive conditional heteroscedasticity DCC-MGARCH model of Engle (2002) as well as the time-scale approach based on multi-resolution analysis. For this goal, we focus on three subsamples, before, during and after the 2008-2009 global financial crisis. Key findings are as follows. (i) Wavelet analysis is a splendid complement to analyze the nexus between oil and gold markets. (ii) Low nexus for oil-gold pairwise after the recent global financial crisis. (iii) Gold and oil moved in reverse direction in the mid-run and long-run horizons during the crisis. (iv) Thanks to wavelets for helping financial managers and investors to manage their investment risks and making decision strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 503, 1 August 2018, Pages 86-104
نویسندگان
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