What is it about?
This paper investigates time–frequency relationships across time scales between stock market returns, crude oil prices and exchange rates by applying wavelet analysis technique over the period 1999 to 2021.
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Why is it important?
Economic decisions differ significantly at different time horizons. Markets participants operates on different time scales at each moment. The wavelet transform is an appropriate analytical tool applicable where both the time horizons of economic decisions and the strength of relationships between variables vary with time and frequency.
Perspectives
Using wavelet analysis, we have shown that it is a powerful tool for analyzing time series with different time scales that cannot be provided by other classical spectral techniques.
Mr Sudipta Das
Indian Institute of Information Technology Allahabad
Read the Original
This page is a summary of: The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate, Journal of Business Cycle Research, July 2021, Springer Science + Business Media,
DOI: 10.1007/s41549-021-00057-3.
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