期刊
ENERGY ECONOMICS
卷 92, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.eneco.2020.104927
关键词
Oil prices; Symbolic wavelet transfer entropy; Causality; Multiscale; Asymmetry
类别
This study sheds new light on the lead-lag relationships between crude oil and refined product return dynamics in the time and the frequency space. For this purpose, a novel methodology is introduced. Based on information theoretic measures and continuous wavelet transform, symbolic wavelet transfer entropy detects non-linear lead-lag relationships in the sense of Granger causality across multiple scales. Between petroleum prices, we find bidirectional causalities across the investment horizons. Further evidence is provided for asymmetric price transmission amongst crude oil and the refined products with respect to increasing and decreasing petroleum prices. Across the analyses, we observe that product price dynamics, economic crises, geopolitical risks, natural catastrophes and other market perturbations affect the price discovery in heterogenous investment horizons. (C) 2020 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据