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The time-frequency relationship between spot and futures prices of crude oil
Název práce v češtině: Časově-frekvenční vztah mezi spotovými a termínovanými cenami ropy
Název v anglickém jazyce: The time-frequency relationship between spot and futures prices of crude oil
Klíčová slova: Waveletová transformace, Vzájemné pohyby, Ropa, Termínový trh
Klíčová slova anglicky: Wavelet tranformation, Comovement, Crude Oil, Futures market
Akademický rok vypsání: 2014/2015
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. PhDr. Jozef Baruník, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 13.04.2015
Datum zadání: 13.04.2015
Datum a čas obhajoby: 10.02.2016 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:04.01.2016
Datum proběhlé obhajoby: 10.02.2016
Oponenti: RNDr. Michal Červinka, Ph.D.
Kontrola URKUND:
Seznam odborné literatury
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11. Gallegati, M. (2012). A wavelet-based approach to test for financial market contagion., Computational Statistics & Data Analysis, 56(11), 3491-3497.
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13. GoupillaudP.,GrossmanA.&MorletJ.(1984)”Cycle-Octave and Related Transforms in Seismic Signal Analysis”. Geoexploration, 23:85-102
14. Addison, P. S. (2002). The illustrated wavelet transform handbook: introductory theory and applications in science, engineering, medicine and finance. CRC Press.
15. Torrence,C.& Compo,G.P.(1998).A practical guide to wavelet analysis.Bulletin of the American Meteorological society, 79(1), 61-78.
16. Heisenberg, W. (1928). Zur theorie des ferromagnetismus. Zeitschrift fur Physik, 49 (9-10), 619-636.
17. Aguiar-Conraria, L., Azavedo N. & Soares, M. J. (2008). Using wavelets to de- com- pose the time-frequency effects of monetary policy. Physica A: Statistical mechanics and its Applications, 387(12), 2863-2878.
18. Mallat, S. (1999). A wavelet tour of signal processing. Access Online via Elsevier.
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Předběžná náplň práce v anglickém jazyce
In this thesis I want to investigate the relationship between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. I will use the data that cover periods January 1987-April 2015. Based on economic theory, the forward prices should be closely related to the spot price, which - in the case of crude oil - I will try to confirm using wavelet-based approach. Main contributions of this thesis will be the findings in the field of time-frequency relationship of spot-futures prices in crude oil market where an alternative methodology - wavelet transformation - will be used. The usage of this advanced method is also an additional contribution for the thesis because it allows to rigorously study how co-movement differs across frequencies/scales and time. In this thesis I will use wavelet Coherence as well as wavelet bivariate correlation. My aim in this thesis is to show that co-movement is significant in all scales unlike other commodities like gasoline where co-movement is strong mainly in higher scales. However according to (Keynes 1930) who claims that if the futures price contains a risk premium, then it will be biased expectation of future spot prices. Hence in this thesis I want also to examines ex-post futures premiums.The novelty of this thesis will be a computation of risk premium on significant scales using Wavelet band spectral regression (WBLS).
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