A utilização do método wavelets na análise da volatilidade dos preços do petróleo

• Ano de defesa: 2013
• Autor(a) principal: Block, Alexander Souza
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Santa Maria; BR; Administração; UFSM; Programa de Pós-Graduação em Administração
• Palavras-chave em Português: Decomposição em frequências; Transmissão da volatilidade; Quebras estruturais; Petróleo; Frequency decomposition; Volatility transmission; Structural breaks; Crude oil; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: http://repositorio.ufsm.br/handle/1/4698

This work seeks to analyze at different frequencies, the transmission of volatility in the prices of crude oil produced by OPEC members and other producing and exporting countries that are not part of this organization and to analyze the presence of structural breaks in dynamic correlation between crude oil spot and future prices. The Wavelets methodology employed aims to decompose the series to verify its behavior at different frequencies, revealing additional information or confirming trends. To check the transmission process of the volatility it is proposed the application of Granger Causality Test. This made it possible to understand the functioning of this important market and answer the following question: How behaves the volatility of oil prices when analyzed considering several time horizons in an analysis in the frequency domain? The analysis of volatility transmission shows a strong integration of the international oil market, the correlation structural breaks tests results shows that structural break point is not static for any analysis, it moves, depending the frequency scale and the time window.