Using wavelet analysis to uncover the co-movement behavior of multiple energy commodity prices

DOI10.1142/S0219691316500478zbMath1414.91147OpenAlexW2519616877MaRDI QIDQ5506742

Gazanfer Ünal, Mustafa Gülerce

Publication date: 16 December 2016

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219691316500478

zbMATH Keywords

wavelet analysiswavelet transformforecastingde-noisingco-movementwavelet coherenceARMA (autoregressive moving average)discrete and continuous wavelet transformVARMA (vector autoregressive moving average)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical methods for wavelets (65T60)

Uses Software

• itsmr
• SOWAS

Cites Work

• Introduction to Time Series and Forecasting

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