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
Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression
โ Scribed by Chien-Chiang Lee; Jhih-Hong Zeng
- Book ID
- 113601149
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 604 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0140-9883
No coin nor oath required. For personal study only.
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