Time-varying wavelet-based applications for evaluating the Water-Energy Nexus

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dc.citation.journalTitleFrontiers in Energy Researchen_US
dc.contributor.authorRaath, Kim C.en_US
dc.contributor.authorEnsor, Katherine B.en_US
dc.date.accessioned2020-09-11T01:24:30Zen_US
dc.date.available2020-09-11T01:24:30Zen_US
dc.date.issued2020en_US
dc.description.abstractThis paper quantifies the rising global dynamic, interconnected relationship between energy and water commodities. Over the last decade, increased international concern has emerged about the water-energy nexus. However, recent research still lacks a quantified understanding of the role of water within a financial-economic view of the nexus. The complexity of commodity markets contributes to this lack of understanding. These markets consist of a wide variety of participants having different objectives, resulting in non-stationary time series. Wavelets are mathematical functions that detect common time-localized oscillations in non-stationary time series. The novelty of our analysis lies in applying wavelet techniques to better quantify the financial implications and understand opportunities of the dynamic relationship that exists in the water-energy nexus. Using daily water and energy commodity ETF price data from 2007 to 2017 we deconstruct each of the time series into different horizon components and evaluate their respective wavelet transforms. Comparing the wavelet squared coherence (WSC) and the windowed scalogram difference (WSD) allows us to specify nexus similarities and differences. We further analyze the wavelet local multiple correlations (WLMC) by including S&P500 ETF price data to conditionally eliminate market effects. Previous studies heavily focused on the qualitative relationships between water and energy. Whereas, the analysis in this paper, to the best of our knowledge, is the first to confirm the time-varying relationship in a quantitative manner. The most significant financial-economic result from our analysis is that water prices, at certain time horizons, lead energy prices during specific localized economic events.en_US
dc.identifier.citationRaath, Kim C. and Ensor, Katherine B.. "Time-varying wavelet-based applications for evaluating the Water-Energy Nexus." <i>Frontiers in Energy Research,</i> (2020) Frontiers: https://doi.org/10.3389/fenrg.2020.00118.en_US
dc.identifier.doihttps://doi.org/10.3389/fenrg.2020.00118en_US
dc.identifier.urihttps://hdl.handle.net/1911/109330en_US
dc.language.isoengen_US
dc.publisherFrontiersen_US
dc.rightsThis is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.en_US
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_US
dc.titleTime-varying wavelet-based applications for evaluating the Water-Energy Nexusen_US
dc.typeJournal articleen_US
dc.type.dcmiTexten_US
dc.type.publicationpublisher versionen_US
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