| bibtype |
M -
Monography Chapter
|
| ARLID |
0434205 |
| utime |
20240103204932.3 |
| mtime |
20141106235959.9 |
| DOI |
10.1007/978-3-319-07061-2_8 |
| title
(primary) (eng) |
Wavelet-Based Correlation Analysis of the Key Traded Assets |
| specification |
| page_count |
27 s. |
| media_type |
P |
| book_pages |
261 |
|
| serial |
| ARLID |
cav_un_epca*0434204 |
| ISBN |
978-3-319-07060-5 |
| ISSN |
1566-0419 |
| title
|
Wavelet Applications in Economics and Finance |
| part_num |
20 |
| part_title |
Dynamic Modeling and Econometrics in Economics and Finance |
| page_num |
157-183 |
| publisher |
| place |
Cham |
| name |
Springer |
| year |
2014 |
|
|
| keyword |
time-frequency dynamics |
| keyword |
high-frequency data |
| keyword |
dynamic correlation |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| garant |
K |
| share |
40 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0106300 |
| name1 |
Kočenda |
| name2 |
Evžen |
| institution |
NHU-N |
| full_dept |
Economics Institute |
| share |
30 |
| fullinstit |
Národohospodářský ústav AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| share |
30 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA13-24313S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0308909 |
|
| project |
| project_id |
GA14-24129S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0306873 |
|
| abstract
(eng) |
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 correlations after 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 these key assets formerly had the potential to serve as items in a well-diversified portfolio, the events of 2007-2008 changed this situation dramatically. |
| reportyear |
2015 |
| RIV |
AH |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| inst_support |
RVO:67985998 |
| permalink |
http://hdl.handle.net/11104/0238363 |
| confidential |
S |
| arlyear |
2014 |
| mrcbU63 |
cav_un_epca*0434204 Wavelet Applications in Economics and Finance Dynamic Modeling and Econometrics in Economics and Finance 20 978-3-319-07060-5 1566-0419 157 183 Cham Springer 2014 |
|