Nonlinearities between oil spot and futures markets: Evidence from intraday data |
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摘 要: | This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market, both in their means and in their conditional volatilities, to investigate whether the association is linear or not. The novelty of this work is based on intraday data from both markets. The empirical findings indicate the presence of nonlinearities both in means and conditional volatilities. Moreover, non-linear causality estimations both in means and in volatilities reveal the presence of bi-directional causality, a fact that provides additional support to the hypothesis that both markets are driven by the same information sets.
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关 键 词: | 期货市场 非线性 现货 石油 证据 从盘 因果关系 波动 |
Nonlinearities between oil spot and futures markets: Evidence from intraday data |
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Authors: | Nicholas Apergis |
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Institution: | Department of Banking and Financial Management, University of Piraeus, Piraeus 18534, Greece |
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Abstract: | oil spot prices oil futures prices non-linearity intraday data |
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Keywords: | oil spot prices oil futures prices non-linearity intraday data |
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