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Cited by 97 publications
(31 citation statements)
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“…In GCWAF, there are three main steps. First, prior to estimation, the existing work on oil prices usually transforms each series to natural logarithms (see, e.g., Benhmad, 2013;Jammazi, 2012;Tiwari et al, 2013). Different from the existing work, the purpose of our study is to discover the co-movement of oil prices using correlation time series.…”
Section: A Grey Correlation Based Wavelet Analysis Frameworkmentioning
confidence: 99%
See 1 more Smart Citation
“…In GCWAF, there are three main steps. First, prior to estimation, the existing work on oil prices usually transforms each series to natural logarithms (see, e.g., Benhmad, 2013;Jammazi, 2012;Tiwari et al, 2013). Different from the existing work, the purpose of our study is to discover the co-movement of oil prices using correlation time series.…”
Section: A Grey Correlation Based Wavelet Analysis Frameworkmentioning
confidence: 99%
“…This is useful for distinguishing which time scale is the dominant contributor to the overall time series variability (Jammazi, 2012). The higher the wavelet variance is, the stronger is the fluctuation intensity and the richer is the contained information.…”
Section: Oil Price Correlation Fluctuation Intensitymentioning
confidence: 99%
“…He founds that the cycles which contribute the most to oil price variations are 20 to 40 years cycles which are close to the size of Kuznets infrastructure cycles and, according to the author, represent energy investment cycles. Jammazi (2012) explores how the interactions between crude oil price changes and stock returns in five of the main developed countries. She applies a wavelet tool, namely (Haar) and builds the wavelet variance, correlation and cross-correlation.…”
Section: Literature On Efficiencymentioning
confidence: 99%
“…Jammazi [20] analyzes the multiscale co-movement relationship between crude oil and stock returns in the Haar a trous wavelet-transformed time scale domain. It is found that the multiscale co-movement is more significant in the higher scale [20]. However, as far as the energy forecasting and risk measurement are concerned, multiscale techniques have received much less attention.…”
Section: Multiscale Analysis In the Energy Marketsmentioning
confidence: 99%
“…Ortas and Alvarez [19] used the wavelet coherent analysis to identify the lead lag relationship between carbon assets and other energy commodities [19]. Jammazi [20] analyzes the multiscale co-movement relationship between crude oil and stock returns in the Haar a trous wavelet-transformed time scale domain. It is found that the multiscale co-movement is more significant in the higher scale [20].…”
Section: Multiscale Analysis In the Energy Marketsmentioning
confidence: 99%