Palomba, Giulio; NICOLAU, Mihaela; TRAINI, Ilaria - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2013
and futures prices as statued by the cost-of-carry model, and to identify the direction of causality.;The empirical … recursive bivariate VAR models over a sample of daily spot and futures prices ranging from January 1997 to September 2013. Using … the recursive Grange-rcausality analysis, we show that some interactions between spot and futures prices clearly exist and …