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Are crude oil spot and futures prices cointegrated? : not always!
Wang, Yudong; Wu, Chongfeng - In: Economic modelling 33 (2013), pp. 641-650
Persistent link: https://www.econbiz.de/10010194454
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Do oil spot and futures prices move together?
Chang, Chun Ping; Lee, Chien-chiang - In: Energy economics 50 (2015), pp. 379-390
Persistent link: https://www.econbiz.de/10011564138
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Futures prices are useful predictors of the spot price of crude oil
Ellwanger, Reinhard; Snudden, Stephen - In: The energy journal 44 (2023) 4, pp. 65-82
Persistent link: https://www.econbiz.de/10014323790
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Re-examining the movements of crude oil spot and futures prices over time
Holmes, Mark J.; Otero, Jesús G. - In: Energy economics 82 (2019), pp. 224-236
Persistent link: https://www.econbiz.de/10012173925
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The convenience yield and the informational content of the oil futures price
Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral; … - In: The energy journal 36 (2015) 2, pp. 29-46
Persistent link: https://www.econbiz.de/10010528362
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New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets
Goetz, Cole; Miljkovic, Dragan; Barabanov, Nikita - In: Energy economics 100 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012990234
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State-dependent hedge strategy for crude oil spot and futures markets
Yu, Xing; Li, Yanyan; Shen, Xilin; Rao, Yunjie; Liu, Yongjun - In: Borsa Istanbul Review 22 (2022) 6, pp. 1221-1237
Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways. First, it uses the PSO algorithm to overcome the shortcomings of...
Persistent link: https://www.econbiz.de/10014305943
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Informational dependency between spot and futures markets : evidence from Turkish foreign exchange markets
Lee, Yen-hsian; Ozun, Alper - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 99-108
Persistent link: https://www.econbiz.de/10010209490
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The impact of the Chinese cornstarch futures on spot market and corn futures market
Agyekum, Crentsil Kofi; Haifeng, Huang; Chen, Jianshu - In: Cogent economics & finance 5 (2017) 1, pp. 1-30
This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market … the Chinese cornstarch futures price could guide cornstarch spot price uni-directionally and there are long … price and corn futures price. The launch of cornstarch futures market can slightly reduce volatility of domestic corn …
Persistent link: https://www.econbiz.de/10011887432
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Financialization and commodity prices : an empirical analysis for coffee, cotton, wheat and oil
Ederer, Stefan; Heumesser, Christine; Staritz, Cornelia - In: International review of applied economics 30 (2016) 4, pp. 462-487
Persistent link: https://www.econbiz.de/10011472537