Work detail

Crude oil co-movement with other representatives of energy and non-energy commodity markets

Author: Mgr. Julia Mustivaya
Year: 2012 - summer
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Consultants:
Work type: Masters
MEF
Language: English
Pages: 85
Awards and prizes:
Link:
Abstract: Financialization of crude oil and its frequent inclusion into investment portfolios
raise the demand for proper correlation estimates of this commodity and other
financial 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 speci es the investment horizons
that should be considered to maximize diversi cation properties of studied
commodities.
Downloadable: DT Mustivaya

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