Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

Co-movement among industry indices of Tehran Stock Exchange, Wavelet Coherence approach

Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE ...

Estimating Dynamic Price Indexes

Price indexes are summary statistics meant to convey a comparison of prices at one time (or place) to another. The raw ingredients from which a standard price index is constructed are the ratios of the price of an item at one time period to the price of the same item at another. Goods which disappear after the initial time period, or first appear in the second, thwart constructing these ratios....

Volatility and Commodity Price Dynamics

Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...

Have Commodity Index Funds Increased Price Linkages between Commodities? by

Pricing IaaS: A Hedonic Price Index Approach

Infrastructure as a Service (IaaS) is a rapidly expanding model of cloud computing. It includes control of computing resources, such as memory, computing power and storage capacity, satisfying the most fundamental IT needs for businesses on a usage-based payment model. Currently, there is an increased demand for IaaS services, which in turn feeds competition among cloud providers. As the price ...