Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...

Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...

Purpose – The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e. tail dependence) among US industry sectors. Design/methodology/approach – This paper makes use of both conventional measures of dependence (the Pearson’s correlation coefficient,...