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Wavelet Transforms and Commodity Prices
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Jeff Connor
Veröffentlicht/Copyright:
14. März 2005
Traders in commodity markets may have different time horizons. This paper uses a scale analysis to investigate heterogeneous trading in such markets. Estimates are presented for price correlations by scale and long memory in the volatility of commodity prices. Wavelet variance is estimated using non-decimated wavelet transforms. Wavelets have the potential to be a useful tool for scale analysis in economics.
Published Online: 2005-3-14
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Article
- A Video Interview of Buz Brock
- A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
- Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
- Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
- Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D
- Wavelet Transforms and Commodity Prices
- Nonlinear Error-Correction Models for the FF/DM Rate
- Replication
- Inflation Dynamics of Turkey: A Structural Estimation
