Determinants of Commodity Futures Prices: Decomposition Approach

Table 8

Correlation and variance of components for Bloomberg daily data of crude oil (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 series					113.1117
High frequency	6.353	0.203	0.086	0.117	5.802	5.129	4.608
Low frequency	55.522	0.929	0.765	0.928	85.413	75.512	67.832
Trend	21.283	0.731	0.607	0.778	34.704	30.681	27.561
Sum						111.322	100