dc.contributor.author | UDDIN, Gazi Salah | |
dc.contributor.author | BEKIROS, Stelios D. | |
dc.contributor.author | AHMED, Ali | |
dc.date.accessioned | 2018-12-06T13:55:45Z | |
dc.date.available | 2018-12-06T13:55:45Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Physica A : statistical mechanics and its applications, 2018, Vol. 495, pp. 30-39 | |
dc.identifier.issn | 0378-4371 | |
dc.identifier.issn | 1873-2119 | en |
dc.identifier.uri | https://hdl.handle.net/1814/59990 | |
dc.description | Available online: 18 December 2017 | en |
dc.description.abstract | 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. | |
dc.description.sponsorship | Jan Wallanders and Tom Hedelius Foundation | |
dc.description.sponsorship | EU Horizon research and innovation programme under the MS-C [656136] | |
dc.language.iso | en | |
dc.publisher | Elsevier | en |
dc.relation.ispartof | Physica A : statistical mechanics and its applications | |
dc.subject | Uncertainty measurement | |
dc.subject | Energy markets | |
dc.subject | Multiscale analysis | |
dc.subject | Phase difference | |
dc.subject | Entropy | |
dc.subject | Policy uncertainty | en |
dc.subject | Stock-market | en |
dc.subject | Economic relationships | en |
dc.subject | Political uncertainty | en |
dc.subject | Financial speculation | en |
dc.subject | Credit markets | en |
dc.subject | Price shocks | en |
dc.subject | US | en |
dc.subject | Interdependence | en |
dc.subject | Decomposition | en |
dc.title | The nexus between geopolitical uncertainty and crude oil markets : an entropy-based wavelet analysis | |
dc.type | Article | en |
dc.identifier.doi | 10.1016/j.physa.2017.12.025 | |
dc.identifier.volume | 495 | |
dc.identifier.startpage | 30 | |
dc.identifier.endpage | 39 | |
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