In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency.Wavelet analysis is able to differentiate high frequency from low frequency movements which correspond, respectively, to short and long run...

This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...