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Are crude oil spot and futures prices cointegrated? Not always!

โœ Scribed by Wang, Yudong; Wu, Chongfeng


Book ID
121910491
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
352 KB
Volume
33
Category
Article
ISSN
0264-9993

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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