Detail práce

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

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance