Liu, Li; Wan, Jieqiu - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3754-3766
In this article, we investigate the asymmetries of exceedance correlations and cross-correlations between West Texas Intermediate (WTI) spot and futures markets. First, employing the test statistic proposed by Hong et al. [Asymmetries in stock returns: statistical tests and economic evaluation,...