The relationship between spot and futures prices: An empirical analysis
β Scribed by Gulley, Andrew; Tilton, John E.
- Book ID
- 124130516
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 224 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0301-4207
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
rading in financial fumes currently accounts for roughly 35% of all futures T contracts, and it promises to become an even larger share of the market. Among those assets in which futures contracts are now traded are stock indices. Futures contracts on the Vdue4he Composite Average opened on Februar
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
## Abstract This article analyzes the relationship between electricity futures prices and naturalβgas futures prices. We find that the daily settlement prices of New York Mercantile Exchange's (NYMEX's) CaliforniaβOregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrate