Wavelet Analysis of Commodity Price Behavior
Russell Davidson, Walter C. Labys, Jean‐Baptiste Lesourd · The Research Repository @ WVU (West Virginia University) · 1996
We propose a form of semi-nonparametric regression based on wavelet analysis. Traditional time series methods usually involve either the time or the frequency domain, but wavelets can combine the information from both of these. While wavelet transforms are typically restricted to equally spaced observations an integer power of 2 in number, we show how to go beyond these constraints. We use our methods to construct "patios" for 21 important international commodity price series. These graph the magnitude of the variations in the series at different time scales for various subperiods of the full sample. Keywords Wavelets, Semi-nonparametric Regression, Commodity Price Behavior, Multi-resolution Analysis. This research was supported, in part, by grants from the Social Sciences and Humanities Research Council of Canada. October 1996 1. Introduction In this study we propose a form of semi-nonparametric regression based on wavelet analysis. Traditional time series analyses rely on method...