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Long-range dependence in the volatility of commodity futures prices: Wavelet-based evidence

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  1. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
  2. Calum G. Turvey, 2010. "Biography," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(1), pages 5-20, May.
  3. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
  4. Hedi Kortas & Zouhaier Dhifaoui & Samir Ben Ammou, 2012. "On wavelet analysis of the nth order fractional Brownian motion," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 251-277, August.
  5. Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
  6. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
  7. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
  8. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
  9. Bhandari, Avishek, 2020. "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper 101946, University Library of Munich, Germany.
  10. Jean-Christophe Statnik & David Verstraete, 2015. "Price dynamics in agricultural commodity markets: a comparison of European and US markets," Empirical Economics, Springer, vol. 48(3), pages 1103-1117, May.
  11. Zou, Shaohui & Zhang, Tian, 2020. "Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  12. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
  13. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, vol. 76(C).
  14. Pal, Debdatta & Mitra, Subrata K., 2017. "Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis," Energy Economics, Elsevier, vol. 62(C), pages 230-239.
  15. Marques, G.O.L.C., 2011. "Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 8-17.
  16. Avishek Bhandari & Bandi Kamaiah, 2020. "Long memory in select stock returns using an alternative wavelet log-scale alignment approach," Papers 2004.08550, arXiv.org.
  17. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
  18. Li, Zhihui & Lu, Xinsheng, 2012. "Cross-correlations between agricultural commodity futures markets in the US and China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3930-3941.
  19. Mitra, Subrata Kumar & Bhatia, Vaneet & Jana, R.K. & Charan, Parikshit & Chattopadhyay, Manojit, 2018. "Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 671-678.
  20. Mishra, Shekhar & Sharif, Arshian & Khuntia, Sashikanta & Meo, Muhammad Saeed & Rehman Khan, Syed Abdul, 2019. "Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 292-304.
  21. Sándor Kovács & Prasert Chaitip & Chukiat Chaiboonsri & Péter Balogh, 2012. "The Long Memory Property of Hungarian Market Pig Prices: A Comparison of Three Different Methods," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(3), pages 123-138.
  22. Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
  23. Avishek Bhandari & Bandi Kamaiah, 2021. "Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 23-37, March.
  24. Liesivaara, Petri & Myyrä, Sami, 2016. "Income stabilisation tool and the pig gross margin index for the Finnish pig sector," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236360, Agricultural Economics Society.
  25. Fei Gao & Shuaiqiang Liu & Cornelis W. Oosterlee & Nico M. Temme, 2022. "Solution of integrals with fractional Brownian motion for different Hurst indices," Papers 2203.02323, arXiv.org, revised Mar 2022.
  26. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
  27. Franco Ruzzenenti, 2015. "Changes in the relationship between the financial and real sector and the present economic financial crisis: study of energy sector and market," Working papers wpaper105, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  28. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  29. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.
  30. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
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