liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain
ESCA School Management, Morocco.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
EUI, Italy.
2017 (English)In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 486, p. 947-955Article in journal (Refereed) Published
Abstract [en]

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. (C) 2017 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2017. Vol. 486, p. 947-955
Keywords [en]
Financial markets; Forex markets; Commodity markets; Wavelet transform; Hierarchical clustering
National Category
Business Administration
Identifiers
URN: urn:nbn:se:liu:diva-140030DOI: 10.1016/j.physa.2017.06.012ISI: 000406988000080OAI: oai:DiVA.org:liu-140030DiVA, id: diva2:1136726
Note

Funding Agencies|Jan Wallanders and Tom Hedelius Foundation [W2016-0364:1]

Available from: 2017-08-29 Created: 2017-08-29 Last updated: 2017-08-29

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Search in DiVA

By author/editor
Uddin, Gazi Salah
By organisation
EconomicsFaculty of Arts and Sciences
In the same journal
Physica A: Statistical Mechanics and its Applications
Business Administration

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 68 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf