Exploring the time and frequency domain connectedness of oil prices and metal prices


Umar, Zaghum and Nasreen, Samia and Solarin, Sakiru Adebola and Tiwari, Aviral Kumar (2019) Exploring the time and frequency domain connectedness of oil prices and metal prices. Resources Policy, 64. p. 101516. ISSN 03014207

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This paper explores the time and frequency domain connectedness between oil prices and metal prices for the period of 1980M1-2017M5. We employ DECO-GARCH model for equi-correlation among commodity under consideration, Diebold and Yilmaz (2014), for time domain, and Barunik and Krehlik (2017), for frequency domain (i.e., frequencies considered are: 1–4 months, 4–8 months, 8–15 months and more than 15 months) connectedness measures. The dynamic connectedness is examined by applying a rolling window method in time and frequency domain. Besides, network plots are also made based on the pair-wise net connectedness between the variables. The results for time domain analysis show that the overall connectedness of the system has been just 3.39%. The empirical results of frequency domain connectedness show that total connectedness varies at different frequencies. The maximum contribution is observed at short-term frequency, (1–4 months; 1.65%) and the lowest contribution at medium-term frequency (8–15 months; 0.45%.). The contribution from the highest frequency, which corresponds to more than 15 months’ period, is just 0.56%. The network analysis shows that Zinc is net receiver.

Item Type: Article
Uncontrolled Keywords: Time and frequency domain connectedness; Network analysis; Oil prices; Metal prices
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD1401-2210 Agriculture
Divisions: Faculty of Business (FOB)
Depositing User: Ms Rosnani Abd Wahab
Date Deposited: 27 Oct 2021 05:09
Last Modified: 27 Oct 2021 05:09
URII: http://shdl.mmu.edu.my/id/eprint/8670


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