Intra-day co-movements of crude oil futures: China and the international benchmarks

DOI10.1007/s10479-021-04097-xzbMath1494.91157OpenAlexW3163475775WikidataQ114227573 ScholiaQ114227573MaRDI QIDQ2150840

Qiang Ji, Yuqian Zhao, Dayong Zhang

Publication date: 30 June 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04097-x

zbMATH Keywords

pairs tradingcomplex network modelINE crude oil futuresintra-day co-movement patternsWTI and brent

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future

Uses Software

• fda (R)
• funHDDC

Cites Work

• Inference for the autocovariance of a functional time series under conditional heteroscedasticity
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• The discriminative functional mixture model for a comparative analysis of bike sharing systems
• Minimal penalties for Gaussian model selection
• Testing stationarity of functional time series
• Contagion in financial networks
• Finding the Number of Clusters in a Dataset
• A new time-varying optimal copula model identifying the dependence across markets
• Testing Normality of Functional Time Series
• Tests for conditional heteroscedasticity of functional data

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