The relationship between spot and future
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Silvapulle, Param; Moosa, Imad A.
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Article
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1999
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John Wiley and Sons
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English
โ 217 KB
๐ 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