Decomposição de ondaletas, análise de volatilidade e correlação para índices financeiros

Resumo

Since the benefits of portfolio international diversification results appeared in financial literature, the issue of financial co-movements among different markets has been a key question. Many recent studies have approached this topic targeting a correlation investigation among financial indicators. Unfortunately, the huge majority of them focus only in the time domain, ignoring the relevant frequency domain which could differentiate long and short-run investment contribution to the energy of a time series. This paper proposes a wavelet-based volatility and correlation analysis of key financial indexes for the Brazilian, American and European markets looking for some results concerning the correlation structure between them in time and frequency domain, obtaining distinct results for long and short-run investment performance and contribution.

Ficha do documento

Tipo

Artigo científico

Ano

2011

Instituição

Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária

Fonte

Estudos Econômicos

Idioma

Português

Acesso

Não informado

DOI

10.1590/S0101-41612011000200009

Identificador

oai:revistas.usp.br:article/36049

Licença

http://creativecommons.org/licenses/by-nc/4.0

Temas

Dados

Palavras-chave

waveletsfinancial time-seriescorrelation and volatility analysiscomovementsondaletasséries financeirasanálise de volatilidade e correlação