Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain
Title: Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain
Citation: Physica A : statistical mechanics and its applications, 2017, Vol. 486, pp. 947-955
We propose a general framework for measuring short and long term dynamics in asset classes based on the wavelet presentation of clustering analysis. The empirical results show strong evidence of instability of the financial system aftermath of the global financial crisis. Indeed, both short and long-term dynamics have significantly changed after the global financial crisis. This study provides an interesting insights complex structure of global financial and economic system.
Subject: Financial markets; Forex markets; Commodity markets; Wavelet transform; Hierarchical clustering
Published online: 15 November 2017
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