| bibtype |
J -
Journal Article
|
| ARLID |
0367037 |
| utime |
20240103195823.8 |
| mtime |
20120124235959.9 |
| WOS |
000300753300025 |
| SCOPUS |
84856055942 |
| DOI |
10.1016/j.eneco.2011.10.007 |
| title
(primary) (eng) |
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0250426 |
| ISSN |
0140-9883 |
| title
|
Energy Economics |
| volume_id |
34 |
| volume |
1 (2012) |
| page_num |
241-247 |
| publisher |
|
|
| keyword |
Correlation |
| keyword |
Co-movement |
| keyword |
Wavelet analysis |
| keyword |
Wavelet coherence |
| author
(primary) |
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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, and natural 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. |
| reportyear |
2012 |
| RIV |
AH |
| num_of_auth |
2 |
| mrcbC52 |
4 A 4a 20231122134745.9 |
| permalink |
http://hdl.handle.net/11104/0201831 |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.12 |
| mrcbT16-s |
2.083 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
69.466 |
| mrcbT16-C |
92.943 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2012 |
| mrcbTft |
\nSoubory v repozitáři: vacha-0367037.pdf |
| mrcbU14 |
84856055942 SCOPUS |
| mrcbU34 |
000300753300025 WOS |
| mrcbU63 |
cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 34 č. 1 2012 241 247 Elsevier |
|