The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis

The nexus between geopolitical uncertainty and crude oil markets : An entropy-based wavelet analysis

Uddin, Gazi Salah (författare): Linköpings universitet,Nationalekonomi,Filosofiska fakulteten

Bekiros, Stelios (författare): European University Institute, Florence, Italy; IPAG Business School, Paris, France

Ahmed, Ali, 1977- (författare): Linköpings universitet,Nationalekonomi,Filosofiska fakulteten

(creator_code:org_t)

Elsevier, 2018
2018
Engelska.
Ingår i: Physica A: Statistical Mechanics and its Applications. - : Elsevier. - 0378-4371. ; 495:April, s. 30-39

Relaterad länk:: https://urn.kb.se/re...; visa fler...; https://doi.org/10.1...; visa färre...

Abstract Ämnesord

Stäng

The global financial crisis and the subsequent geopolitical turbulence in energy markets have brought increased attention to the proper statistical modeling especially of the crude oil markets. In particular, we utilize a time–frequency decomposition approach based on wavelet analysis to explore the inherent dynamics and the casual interrelationships between various types of geopolitical, economic and financial uncertainty indices and oil markets. Via the introduction of a mixed discrete-continuous multiresolution analysis, we employ the entropic criterion for the selection of the optimal decomposition level of a MODWT as well as the continuous-time coherency and phase measures for the detection of business cycle (a)synchronization. Overall, a strong heterogeneity in the revealed interrelationships is detected over time and across scales.

Av författaren/redakt...: Uddin, Gazi Sala ...; Bekiros, Stelios; Ahmed, Ali, 1977 ...

Om ämnet

SAMHÄLLSVETENSKAP: SAMHÄLLSVETENSKA ...; och Ekonomi och näri ...; och Nationalekonomi

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