Title:Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain Author(s):LAHMIRI, Salim; SALAH UDDIN, Gazi; BEKIROS, Stelios D.Date:2017Citation:
- Physica A : statistical mechanics and its applications, 2017, Vol. 486, pp. 947-955
Type:ArticleAbstract: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 ...