𝔖 Bobbio Scriptorium
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Oil futures and spot markets

✍ Scribed by Samii, Massood V.


Book ID
115230497
Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
344 KB
Volume
16
Category
Article
ISSN
0277-0180

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Detrended fluctuation analysis on spot a
✍ Yudong Wang; Yu Wei; Chongfeng Wu πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 672 KB

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

The relationship between spot and future
✍ 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