期刊
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
卷 48, 期 -, 页码 175-201出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.jimonfin.2014.07.001
关键词
Causality; Wavelet method; Oil prices; Oil futures
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty. (C) 2014 Elsevier Ltd. All rights reserved.
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