Determinants of Commodity Futures Prices: Decomposition Approach

Table 9

Correlation and variance of components obtained from IMFs of EMD for daily price series of crude oil: 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	2.00786				113.1117
High frequency	6.35323	0.20288	0.08595	0.11719	5.80187	5.12933	5.70277
Low frequency	55.52174	0.92868	0.76549	0.92792	85.41266	75.51178	83.95380
Trend	1277.00000	0.4821122	0.46130	0.61337	10.52316	9.30333	10.34342
Sum						89.94444	100