In this paper, we study the auto-correlations and cross-correlations of West Texas Intermediate (WTI) crude oil spot and futures return series employing detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA). Scaling analysis shows that, for time scales smaller than a m
✦ LIBER ✦
Energy Economics and Financial Markets || The Dynamics of Crude Oil Spot and Futures Markets
✍ Scribed by Dorsman, André; Simpson, John L.; Westerman, Wim
- Book ID
- 118009222
- Publisher
- Springer Berlin Heidelberg
- Year
- 2012
- Weight
- 453 KB
- Category
- Article
- ISBN
- 3642306012
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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