Abstract

Traders in commodity markets may have different time horizons. This paper uses a scale analysis to investigate heterogeneous trading in such markets. Estimates are presented for price correlations by scale and long memory in the volatility of commodity prices. Wavelet variance is estimated using non-decimated wavelet transforms. Wavelets have the potential to be a useful tool for scale analysis in economics.

Recommended Citation

Jeff Connor and Rosemary Rossiter (2005) "Wavelet Transforms and Commodity Prices", Studies in Nonlinear Dynamics & Econometrics: Vol. 9: No. 1, Article 6.
http://www.bepress.com/snde/vol9/iss1/art6

Related Files

rossiter_datacode.zip (154 kB)
Data and code