Dynamic co-movement in major commodity markets during crisis periods : a wavelet local multiple correlation analysis
Elie Bouri, Ramzi Nekhili, Neda Todorova
| Year of publication: |
2023
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|---|---|
| Authors: | Bouri, Elie ; Nekhili, Ramzi ; Todorova, Neda |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 2, p. 1-10
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| Subject: | Commodities | COVID-19 | Crude oil | Gold | Returns and implied volatility | Russia-Ukraine war | Wavelet local multiple correlation (WLMC) | Volatilität | Volatility | Korrelation | Correlation | Rohstoffmarkt | Commodity market | Zustandsraummodell | State space model | Coronavirus | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Kapitaleinkommen | Capital income |