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Mathematical Problems in Engineering
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2021
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Article
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Tab 12
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Research Article
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