Wavelet-Based Correlation Analysis of the Key Traded Assets

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985998:_____/14:00434205 RIV/00216208:11230/14:10281370 RIV/00216208:11640/14:00439506

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Wavelet-Based Correlation Analysis of the Key Traded Assets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Wavelet-Based Correlation Analysis of the Key Traded Assets

Popis výsledku anglicky

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.

Druh

C - Kapitola v odborné knize

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Wavelet Applications in Economics and Finance

ISBN

978-3-319-07060-5

Počet stran výsledku

27

Strana od-do

157-183

Počet stran knihy

261

Název nakladatele

Springer

Místo vydání

Cham

Kód UT WoS kapitoly

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