dc.contributorCoronel, Daniel Arruda
dc.contributorhttp://lattes.cnpq.br/9265604274170933
dc.contributorDenardin, Anderson Antonio
dc.contributorhttp://lattes.cnpq.br/8520458665069378
dc.contributorBender Filho, Reisoli
dc.contributorhttp://lattes.cnpq.br/9794436610539367
dc.creatorBlock, Alexander Souza
dc.date.accessioned2017-04-06
dc.date.available2017-04-06
dc.date.created2017-04-06
dc.date.issued2013-11-27
dc.identifierBLOCK, Alexander Souza. The application of wavelets filtering methods to understand crude oil prices volatility.. 2013. 69 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2013.
dc.identifierhttp://repositorio.ufsm.br/handle/1/4698
dc.description.abstractThis 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.
dc.publisherUniversidade Federal de Santa Maria
dc.publisherBR
dc.publisherAdministração
dc.publisherUFSM
dc.publisherPrograma de Pós-Graduação em Administração
dc.rightsAcesso Aberto
dc.subjectDecomposição em frequências
dc.subjectTransmissão da volatilidade
dc.subjectQuebras estruturais
dc.subjectPetróleo
dc.subjectFrequency decomposition
dc.subjectVolatility transmission
dc.subjectStructural breaks
dc.subjectCrude oil
dc.titleA utilização do método wavelets na análise da volatilidade dos preços do petróleo
dc.typeDissertação


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