Determinants of Commodity Futures Prices: Decomposition Approach

Table 12

Correlation and variance of components for Bloomberg daily data of gold from May 2016–April 2021 derived through EMD: correlation is significant at 0.05 level (2-tailed).

	Mean period	Pearson correlation	Kendall correlation	Spearman correlation	Variance	Variance as of observed (%)	Variance as % of  + residual
Observed	1.912				54236.22
High frequency	4.080	0.095	0.064	0.089	264.376	0.487	0.520
Low frequency	67.211	0.375	0.334	0.423	3913.372	7.215	7.690
Trend	319.250	0.962	0.559	0.743	46709.450	86.122	91.790
Sum						93.824	100