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A study of correlations between crude oil spot and futures markets: A rolling sample test

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  1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
  2. Cai, Yuxin & Lu, Xinsheng & Ren, Yongping & Qu, Ling, 2019. "Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  3. Wang, Gang-Jin & Si, Hui-Bin & Chen, Yang-Yang & Xie, Chi & Chevallier, Julien, 2021. "Time domain and frequency domain Granger causality networks: Application to China’s financial institutions," Finance Research Letters, Elsevier, vol. 39(C).
  4. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
  5. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
  6. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
  7. Huang, Xuan & An, Haizhong & Gao, Xiangyun & Hao, Xiaoqing & Liu, Pengpeng, 2015. "Multiresolution transmission of the correlation modes between bivariate time series based on complex network theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 493-506.
  8. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
  9. Ruan, Qingsong & Wang, Yao & Lu, Xinsheng & Qin, Jing, 2016. "Cross-correlations between Baltic Dry Index and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 278-289.
  10. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  11. Al Rahahleh, Naseem & Bhatti, M. Ishaq, 2017. "Co-movement measure of information transmission on international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 119-131.
  12. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
  13. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
  14. Cai, Wenxue & Liang, Fenfen & Wan, Yanchun & Zhong, Huiling & Gu, Yimiao, 2021. "An innovative approach for constructing a shipping index based on dynamic weighted complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
  15. Todea, Alexandru, 2016. "Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 208-215.
  16. 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, vol. 104(C), pages 220-228.
  17. Xia, Jianan & Shang, Pengjian & Lu, Dan & Yin, Yi, 2016. "A comprehensive segmentation analysis of crude oil market based on time irreversibility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 104-114.
  18. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2013. "Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1795-1802.
  19. Li, Shuping & Lu, Xinsheng & Liu, Xinghua, 2020. "Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  20. Mihaela Nicolau, 2012. "Do Spot Prices Move towards Futures Prices? A study on Crude Oil Market," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 166-176, October.
  21. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
  22. Nicolau, Mihaela & Palomba, Giulio, 2015. "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, vol. 45(C), pages 130-143.
  23. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
  24. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
  25. 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 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  26. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
  27. Li, Wei & Lu, Xinsheng & Ren, Yongping & Zhou, Ying, 2018. "Dynamic relationship between RMB exchange rate index and stock market liquidity: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 726-739.
  28. Sun, Xinxin & Lu, Xinsheng & Yue, Gongzheng & Li, Jianfeng, 2017. "Cross-correlations between the US monetary policy, US dollar index and crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 326-344.
  29. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.
  30. Liu, Li & Wan, Jieqiu, 2012. "The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6051-6059.
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