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Citations for "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality"

by Bekiros, S. & Diks, C.G.H.

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  1. Chevillon, Guillaume & Rifflart, Christine, 2009. "Physical market determinants of the price of crude oil and the market premium," Energy Economics, Elsevier, Elsevier, vol. 31(4), pages 537-549, July.
  2. Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia, 2012. "The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN) 17/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Sep 2013.
  3. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 294-306.
  4. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(21), pages 3754-3766.
  5. Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln.
  6. Hooi Hooi Lean & Michael McAleer, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Tinbergen Institute Discussion Papers 13-132/III, Tinbergen Institute.
  7. Lean, H.H. & McAleer, M.J. & Wong, W-K., 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Econometric Institute Research Papers EI 2013-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 5(1), pages 65-83, March.
  9. Maria Pempetzoglou, 2014. "Electricity Consumption and Economic Growth: A Linear and Nonlinear Causality Investigation for Turkey," International Journal of Energy Economics and Policy, Econjournals, Econjournals, vol. 4(2), pages 263-273.
  10. Lean, H.H. & McAleer, M.J. & Wong, W.K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Mikhail Stolbov, 2014. "How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 331-348, June.
  12. Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  13. Yang, Linghubo & Zhang, Dongxiang, 2013. "Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 264-271.
  14. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, Elsevier, vol. 32(5), pages 979-986, September.
  15. Rosa, Franco & Vasciaveo, Michela, 2012. "Volatility in US and Italian agricultural markets, interactions and policy evaluation," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists 122530, European Association of Agricultural Economists.
  16. Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 335-349.
  17. Neil A. Wilmot, 2013. "Cointegration in the Oil Market among Regional Blends," International Journal of Energy Economics and Policy, Econjournals, Econjournals, vol. 3(4), pages 424 - 433.
  18. Zhang, Yue-Jun & Wei, Yi-Ming, 2010. "The crude oil market and the gold market: Evidence for cointegration, causality and price discovery," Resources Policy, Elsevier, Elsevier, vol. 35(3), pages 168-177, September.
  19. Ahdi N. Ajmi & Shawkat Hammoudeh & Ahmed A. A. Khalifa & Duc K. Nguyen, 2014. "Causality across international equity and commodity markets: When asymmetry and nonlinearity matter," Working Papers, Department of Research, Ipag Business School 2014-546, Department of Research, Ipag Business School.
  20. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression," Energy Economics, Elsevier, Elsevier, vol. 33(5), pages 924-935, September.
  21. Lean, H.H. & McAleer, M.J. & Wong, W.K., 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Research Papers EI 2010-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  22. Lim, Shiok Ye & Ho, Chong Mun, 2013. "Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 136-145.
  23. Wang, Yudong & Wu, Chongfeng, 2013. "Are crude oil spot and futures prices cointegrated? Not always!," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 641-650.
  24. Lu, Feng-bin & Hong, Yong-miao & Wang, Shou-yang & Lai, Kin-keung & Liu, John, 2014. "Time-varying Granger causality tests for applications in global crude oil markets," Energy Economics, Elsevier, Elsevier, vol. 42(C), pages 289-298.
  25. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 400(C), pages 20-30.
  26. Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012. "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 308, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. Wang, Yudong & Wu, Chongfeng, 2012. "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2289-2297.
  28. Olalekan Bashir Aworinde, 2013. "The tax-spend nexus in Nigeria: Evidence from Nonlinear Causality," Economics Bulletin, AccessEcon, vol. 33(4), pages 3117-3130.
  29. Emmanuel Anoruo, 2011. "Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns," International Journal of Economic Sciences and Applied Research (IJESAR), Technological Educational Institute (TEI) of Kavala, Greece, Technological Educational Institute (TEI) of Kavala, Greece, vol. 4(3), pages 75-92, December.
  30. Zhang, Yue-Jun & Wang, Zi-Yi, 2013. "Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence," Applied Energy, Elsevier, Elsevier, vol. 104(C), pages 220-228.
  31. Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012. "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 270-282.
  32. Nazlioglu, Saban, 2011. "World oil and agricultural commodity prices: Evidence from nonlinear causality," Energy Policy, Elsevier, Elsevier, vol. 39(5), pages 2935-2943, May.
  33. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 989-1000.
  34. Go Tamakoshi & Shigeyuki Hamori, 2012. "Informational roles of commodity prices for monetary policy: evidence from the Euro area," Economics Bulletin, AccessEcon, vol. 32(2), pages 1282-1290.
  35. Karagianni, Stella & Pempetzoglou, Maria & Saraidaris, Anastasios, 2012. "Tax burden distribution and GDP growth: Non-linear causality considerations in the USA," International Review of Economics & Finance, Elsevier, Elsevier, vol. 21(1), pages 186-194.
  36. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, Elsevier, vol. 24(C), pages 166-181.