Causal relationship between spot and futures prices with multiple time horizons : a nonparametric wavelet Granger causality test
Year of publication: |
2020
|
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Authors: | Torun, Erdost ; Chang, Tzu-pu ; Chou, Ray Yeutien |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 52.2020, p. 1-18
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Subject: | Futures market | Granger causality | Time-frequency analysis | Wavelet | Kausalanalyse | Causality analysis | Rohstoffderivat | Commodity derivative | Zustandsraummodell | State space model | Derivat | Derivative | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Spotmarkt | Spot market | Kointegration | Cointegration |
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