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

DOI10.1080/14697688.2012.686669zbMATH Open1280.91206OpenAlexW2085740923MaRDI QIDQ5745650FDOQ5745650

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

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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)

Cites Work

• Energy shocks and financial markets: nonlinear linkages
• Title not available (Why is that?)

Cited In (6)

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

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