2016
DOI: 10.1016/j.eneco.2015.02.011
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Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics

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Cited by 30 publications
(27 citation statements)
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References 59 publications
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“…Mother wavelets have to satisfy two main conditions: (1) zero mean (i.e., R ∞ ∞ Ψ t dt 0) and (2) unit energy (localized in time or space; i.e., R ∞ ∞ Ψ 2 t dt 1). In addition, wavelets have to satisfy the admissibility condition, which guarantees a reconstruction of the original time series from its wavelet transform using the inverse transform (Shalini and Prasanna, 2016). For this article, we use the DWT, given the flexibility it offers in denoising time series (Crowley, 2005), but also because it produces a minimum number of coefficients necessary to reconstruct a series.…”
Section: Wavelet Analysismentioning
confidence: 99%
“…Mother wavelets have to satisfy two main conditions: (1) zero mean (i.e., R ∞ ∞ Ψ t dt 0) and (2) unit energy (localized in time or space; i.e., R ∞ ∞ Ψ 2 t dt 1). In addition, wavelets have to satisfy the admissibility condition, which guarantees a reconstruction of the original time series from its wavelet transform using the inverse transform (Shalini and Prasanna, 2016). For this article, we use the DWT, given the flexibility it offers in denoising time series (Crowley, 2005), but also because it produces a minimum number of coefficients necessary to reconstruct a series.…”
Section: Wavelet Analysismentioning
confidence: 99%
“…The relevance of the stock market for the energy sector has been analyzed in Miralles-Marcelo et al (2012), Santillán-Salgado et al (2017. Braun andHazelroth (2015), D'Ecclesia (2016), Matar and Bekhet (2015), Ching-Chun and Ya-Ling (2016), Tumen et al (2016), Huang et al (2017), Rannou and Barneto (2016), Shalini andPrasanna (2016), Salas-Fumas et al (2016), Most of these studies find that the stock market drives the energy sector. Manera et al (2013) find that the S&P500 index significantly affects returns across commodity prices, and there are correlations between energy products and agricultural products with a rebound around 2008.…”
Section: A Short Review On the Stock Markets-energy Sector Nexusmentioning
confidence: 99%
“…They also find positive retardation causality between the volume of OTC derivatives and spot prices. Other papers related with the financial sector are those from: Sanchez-Loor and Zambrano-Moserrate (2015), Matar and Bekhet (2015), Braun andHazelroth (2015), D'Ecclesia (2016), Ching-Chun and Ya-Ling (2016), Tumen et al (2016), Huang et al (2017), Shalini andPrasanna (2016), andSalas-Fumás (2016).…”
Section: Introductionmentioning
confidence: 99%
“…Р. Чанд и др. и В. Шалини и К. Прасанна в своих исследованиях проанализировали влияние мирового экономического кризиса на сельское хозяйство Индии, которое отчасти было ограниченным, а восстановление произошло сравнительно быстро [7,8]. Наконец, Б. Херрманн и А. Критикос показали, что экономический кризис в Греции сформировал новые возможности для инновационного развития страны [9].…”
Section: теоретические основанияunclassified