TY - GEN
T1 - A non-linear dependence analysis of oil, coal and natural gas futures with brownian distance correlation
AU - Creamer, Germán G.
AU - Creamer, Bernardo
N1 - Publisher Copyright: Copyright © 2014, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved.
PY - 2014
Y1 - 2014
N2 - This paper proposes the use of the Brownian distance correlation to conduct a lead-lag analysis of financial and economic time series. When this methodology is applied to asset prices, the non-linear relationships identified may improve the price discovery process of these assets. The Brownian distance correlation determines relationships similar to those identified by the linear Granger causality test, and it also uncovers additional non-linear relationships among the log prices of oil, coal, and natural gas.
AB - This paper proposes the use of the Brownian distance correlation to conduct a lead-lag analysis of financial and economic time series. When this methodology is applied to asset prices, the non-linear relationships identified may improve the price discovery process of these assets. The Brownian distance correlation determines relationships similar to those identified by the linear Granger causality test, and it also uncovers additional non-linear relationships among the log prices of oil, coal, and natural gas.
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M3 - Conference contribution
T3 - AAAI Fall Symposium - Technical Report
SP - 9
EP - 14
BT - Energy Market Prediction - Papers from the AAAI Fall Symposium, Technical Report
PB - AI Access Foundation
T2 - 2014 AAAI Fall Symposium
Y2 - 13 November 2014 through 15 November 2014
ER -