Tonn, Victor Lux; Li, H.C.; McCarthy, Joseph - In: The Quarterly Review of Economics and Finance 50 (2010) 4, pp. 408-414
This paper studies the relationship between futures prices of natural gas and oil. Using wavelet analysis, our research reveals that, throughout the sampled period: (1) the prices of natural gas futures and oil futures have high covariance at high frequencies but not so much at low frequencies;...