𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A note on the conditional correlation between energy prices: Evidence from future markets

✍ Scribed by Massimiliano Marzo; Paolo Zagaglia

Book ID
108120932
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
312 KB
Volume
30
Category
Article
ISSN
0140-9883

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The relationship between spot and future
The relationship between spot and futures prices: Evidence from the crude oil market
✍ Silvapulle, Param; Moosa, Imad A. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 217 KB πŸ‘ 2 views

This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and fut

Regime switching in stock index and futu
Regime switching in stock index and futures markets: a note on the NIKKEI evidence
✍ Angelos Kanas πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 95 KB

## Abstract Using a time‐varying regime‐switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time‐varying and dependent upon the basis, the interest rate, the volatility of the