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Persistence in crude oil spot and futures prices

โœ Scribed by Ozdemir, Zeynel Abidin; Gokmenoglu, Korhan; Ekinci, Cagdas

Book ID
121506104
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
381 KB
Volume
59
Category
Article
ISSN
1751-4223

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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