Financialization of crude oil and its frequent inclusion into investment portfo- lios raise the demand for proper correlation estimates of this commodity and other financial assets. This thesis particularly examines the co-movement of crude oil price with prices of four other representatives of commodity market (gasoline, natural gas, gold and Industrials Index). It contributes to the exist- ing literature by the results obtained from application of wavelet coherence, which allows uncovering dynamics of interconnection between commodity prices in time as well as over different frequencies. Analysis brings many in- teresting findings and practical implications. Among others, it specifies the investment horizons that should be considered to maximize diversification properties of studied commodities. 1
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:305630 |
| Date | January 2012 |
| Creators | Mustivaya, Julia |
| Contributors | Baruník, Jozef, Jánský, Ivo |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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