Related papers: Time-frequency co-movements between commodities an…
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data. A major part…
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility…
We study the diffusion of shocks in the global financial cycle and global liquidity conditions to emerging and developing economies. We show that the classification according to their external trade patterns (as commodities' net exporters…
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
The study examines the return connectedness between climate policy uncertainty (CPU), clean energy, fossil energy, and food markets. Using the time-domain method of Diebold and Yilmaz (2012) and frequency-domain methods of Barun{\'{i}}k and…
In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency. Wavelet analysis is able to differentiate high frequency from low frequency…
Purpose: In the context of a COVID pandemic in 2020-21, this paper attempts to capture the interconnectedness and volatility transmission dynamics. The nature of change in volatility spillover effects and time-varying conditional…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model…
We present a systematic, trend-following strategy, applied to commodity futures markets, that combines univariate trend indicators with cross-sectional trend indicators that capture so-called {\em momentum spillover}, which can occur when…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
This paper examines the dynamic relationship between electoral polls and indicators of economic and financial uncertainty during the last two U.S. presidential elections (2020 and 2024). Using daily polling data on Donald Trump and measures…
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 -…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
We study the co-movement of the 10-year sovereign bond yields of 11 EU countries. Our analysis is focused mainly on changes in co-movement during the financial crisis period, especially around two significant dates - the fall of Lehman…
Recent developments in financial time series focus on modeling volatility across multiple assets or indices in a multivariate framework, accounting for potential interactions such as spillover effects. Furthermore, the increasing…
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically…