The nexus between geopolitical uncertainty and crude oil markets : an entropy-based wavelet analysis
Physica A : statistical mechanics and its applications, 2018, Vol. 495, pp. 30-39
UDDIN, Gazi Salah, BEKIROS, Stelios D., AHMED, Ali, The nexus between geopolitical uncertainty and crude oil markets : an entropy-based wavelet analysis, Physica A : statistical mechanics and its applications, 2018, Vol. 495, pp. 30-39 - https://hdl.handle.net/1814/59990
Retrieved from Cadmus, EUI Research Repository
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.
Available online: 18 December 2017
Cadmus permanent link: https://hdl.handle.net/1814/59990
Full-text via DOI: 10.1016/j.physa.2017.12.025
ISSN: 0378-4371; 1873-2119
Keyword(s): Uncertainty measurement Energy markets Multiscale analysis Phase difference Entropy Policy uncertainty Stock-market Economic relationships Political uncertainty Financial speculation Credit markets Price shocks US Interdependence Decomposition
Sponsorship and Funder information:Jan Wallanders and Tom Hedelius FoundationEU Horizon research and innovation programme under the MS-C 
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