Date: 2017
Type: Article
Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain
Physica A : statistical mechanics and its applications, 2017, Vol. 486, pp. 947-955
LAHMIRI, Salim, SALAH UDDIN, Gazi, BEKIROS, Stelios D., Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain, Physica A : statistical mechanics and its applications, 2017, Vol. 486, pp. 947-955
- https://hdl.handle.net/1814/49793
Retrieved from Cadmus, EUI Research Repository
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.
Additional information:
Published online: 15 November 2017
Cadmus permanent link: https://hdl.handle.net/1814/49793
Full-text via DOI: 10.1016/j.physa.2017.06.012
ISSN: 0378-4371
Publisher: Elsevier
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