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 prices in the Nord Pool electricity market
✍ Scribed by Weron, Rafał; Zator, Michał
- Book ID
- 122606374
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 486 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0140-9883
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## Abstract This article analyzes the relationship between electricity futures prices and natural‐gas futures prices. We find that the daily settlement prices of New York Mercantile Exchange's (NYMEX's) California–Oregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrate