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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

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