Graham, Michael; Kiviaho, Jarno; Nikkinen, Jussi - In: Quantitative Finance 13 (2013) 4, pp. 583-592
We utilize wavelet coherency methodology with simulated confidence bounds to examine the short-term and long-term dependencies of the returns for S&P 500 and the S&P GSCI-super-® commodity index. Our results indicate no evidence of co-movement between S&P 500 total return and the S&P...
