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Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test

โœ Scribed by Alzahrani, Mohammed; Masih, Mansur; Al-Titi, Omar


Book ID
126777865
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
606 KB
Volume
48
Category
Article
ISSN
0261-5606

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โœ Juan Tao; Christopher J. Green ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 256 KB

## ABSTRACT We apply threshold cointegration to study the dynamics between the London FTSE100 spot index and its futures price, using percentage mispricing as the threshold variable to identify the noโ€arbitrage band. Estimated asymmetries in the band suggest that short sale restrictions in the spot