Oil futures and spot markets
β 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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π SIMILAR VOLUMES
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
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