Wavelet Transforms and Commodity Prices

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.

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Year of publication:	2007
Authors:	Connor, Jeff ; Rossiter, Rosemary
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 9.2007, 1, p. 1170-1170
Publisher:	Berkeley Electronic Press
Subject:	non-decimated wavelet transform \| wavelet variance \| wavelet covariance \| scale analysis

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966161