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Mathematical Problems in Engineering
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2021
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Article
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Tab 13
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Research Article
Determinants of Commodity Futures Prices: Decomposition Approach
Table 13
Correlation and variance of constituents for daily series of gold (May 2016–April 2021) derived through VMD: 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
5.149
0.161
0.165
0.217
649.378
1.197
1.322
Low frequency
44.034
0.417
0.327
0.427
2656.298
4.898
5.409
Trend
18.779
0.966
0.731
0.902
45806.270
84.457
93.269
Sum
90.552
100.00