Wavelet-Based Correlation Analysis of the Key Traded Assets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00434205" target="_blank" >RIV/67985556:_____/14:00434205 - isvavai.cz</a>
Alternative codes found
RIV/67985998:_____/14:00434205 RIV/00216208:11230/14:10281370 RIV/00216208:11640/14:00439506
Result on the web
<a href="http://dx.doi.org/10.1007/978-3-319-07061-2_8" target="_blank" >http://dx.doi.org/10.1007/978-3-319-07061-2_8</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-07061-2_8" target="_blank" >10.1007/978-3-319-07061-2_8</a>
Alternative languages
Result language
angličtina
Original language name
Wavelet-Based Correlation Analysis of the Key Traded Assets
Original language description
This chapter reveals the time-frequency dynamics of the dependence among key traded assets ? gold, oil, and stocks, in the long run, over a period of 26 years. Using both intra-day and daily data and employing a variety of methodologies, including a novel time-frequency approach combining wavelet-based correlation analysis with high-frequency data, we provide interesting insights into the dynamic behavior of the studied assets. We account for structural breaks and reveal a radical change in correlationsafter 2007-2008 in terms of time-frequency behavior. Our results confirm different levels of dependence at various investment horizons indicating heterogeneity in stock market participants? behavior, which has not been documented previously. While thesekey assets formerly had the potential to serve as items in a well-diversified portfolio, the events of 2007-2008 changed this situation dramatically.
Czech name
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Czech description
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Classification
Type
C - Chapter in a specialist book
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
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
Wavelet Applications in Economics and Finance
ISBN
978-3-319-07060-5
Number of pages of the result
27
Pages from-to
157-183
Number of pages of the book
261
Publisher name
Springer
Place of publication
Cham
UT code for WoS chapter
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