Vacha, Lukas; Barunik, Jozef - In: Energy Economics 34 (2012) 1, pp. 241-247
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data. A major part of economic time series analysis is done in the time or...