Time-frequency analysis of crude oil and S\&P500 futures contracts

DOI10.1080/14697688.2012.686669MaRDI QIDQ5745650zbMATH OpenOpenAlexFDO

Authors

Publication date 30 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.686669

zbMATH Keywords

commodity pricescomovementswavelets in financefinancial futurescross-spectrum in finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1181201 (Why is no real title available?)
• Energy shocks and financial markets: nonlinear linkages

Cited in

(6)

• Empirical evidence of some stylized facts in international crude oil markets
• A change-point analysis of crude oil prices and gold prices
• Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets
• Detecting fuzzy periodic patterns in futures spreads
• Emergence of turbulent epochs in oil prices
• The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach

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