کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
982324 | 1480462 | 2010 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Wavelet domain correlation between the futures prices of natural gas and oil
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 4, November 2010, Pages 408–414
Journal: The Quarterly Review of Economics and Finance - Volume 50, Issue 4, November 2010, Pages 408–414
نویسندگان
Victor Lux Tonn, H.C. Li, Joseph McCarthy,