Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00367037" target="_blank" >RIV/67985556:_____/12:00367037 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/12:10100616
Result on the web
<a href="http://dx.doi.org/10.1016/j.eneco.2011.10.007" target="_blank" >http://dx.doi.org/10.1016/j.eneco.2011.10.007</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2011.10.007" target="_blank" >10.1016/j.eneco.2011.10.007</a>
Alternative languages
Result language
angličtina
Original language name
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Original language description
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data. A major part of economic time series analysis is done in the time or frequency domain separate- ly. Wavelet analysis combines these two fundamental approaches allowing study of the time series in the time-frequency domain. Using this framework, we propose a new, model-free way of estimating time- varying correlations. In the empirical analysis, we connect our approach to the dynamic conditional correla- tion approach of Engle (2002) on the main components of the energy sector. Namely, we use crude oil, gas- oline, heating oil, andnatural gas on a nearest-future basis over a period of approximately 16 and 1/2 years beginning on November 1, 1993 and ending on July 21, 2010.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Economics
ISSN
0140-9883
e-ISSN
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Volume of the periodical
34
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
7
Pages from-to
241-247
UT code for WoS article
000300753300025
EID of the result in the Scopus database
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