Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests
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DOI: 10.1016/j.eneco.2018.11.013
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More about this item
Keywords
Causality-in-mean; Causality-in-variance; Causality-in-quantile; Spot market; Futures market and commodities;All these keywords.
JEL classification:
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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