Wavelet analysis of commodity price behavior

DOI10.1023/A:1008666428579zbMath0897.90073OpenAlexW1501530495MaRDI QIDQ1386861

Walter C. Labys, Jean-Baptiste Lesourd, Russell Davidson

Publication date: 26 May 1998

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008666428579

zbMATH Keywords

wavelet analysismulti-resolution analysiscommodity price behaviorsemi-nonparametric regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (9)

Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets ⋮ Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ Errors-in-variables estimation with wavelets ⋮ De-noising option prices with the wavelet method ⋮ Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting ⋮ Cross-correlating wavelet coefficients with applications to high-frequency financial time series ⋮ Wavelet-based multi-resolution GARCH model for financial spillover effects ⋮ UNIT ROOT TESTS WITH WAVELETS ⋮ Revealing the implied risk-neutral MGF from options: the wavelet method

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