Crude oil co-movement with other representatives of energy and non-energy commodity markets
| Autor: | Mgr. Julia Mustivaya |
|---|---|
| Rok: | 2012 - letní |
| Vedoucí: | doc. PhDr. Jozef Baruník Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová MEF |
| Jazyk: | Anglicky |
| Stránky: | 85 |
| Ocenění: | |
| Odkaz: | |
| Abstrakt: | Financialization of crude oil and its frequent inclusion into investment portfolios raise the demand for proper correlation estimates of this commodity and other nancial assets. This thesis particularly examines the co-movement of crude oil price with prices of four other representatives of commodity market (gasoline, natural gas, gold and Industrials Index). It contributes to the existing literature by the results obtained from application of wavelet coherence, which allows uncovering dynamics of interconnection between commodity prices in time as well as over diferent frequencies. Analysis brings many interesting findings and practical implications. Among others, it specifies the investment horizons that should be considered to maximize diversification properties of studied commodities. |
| Ke stažení: | DP Mustivaya |
