Market-dependent causality between futures and spot

DOI10.3969/J.ISSN.1001-4268.2017.03.002zbMATH Open1389.62165MaRDI QIDQ3131133FDOQ3131133

Authors: Lu Lin, Wei Shen, Yan Zhang, Lufang Liang, Chuangang Zhang 

Publication date: 29 January 2018

Recommendations

• Price discovery, causality and forecasting in the freight futures market
• Testing for Granger-causality in quantiles
• Nonlinear Granger causality in the currency futures returns
• The dynamics of the relationship between spot and futures markets under high and low variance regimes
• The mutual causality analysis between the stock and futures markets

zbMATH Keywords

causalityfinancial marketfuturesGranger causality testspot

Mathematics Subject Classification ID

General nonlinear regression (62J02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (6)

• The dynamics of the relationship between spot and futures markets under high and low variance regimes
• Price discovery, causality and forecasting in the freight futures market
• Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework
• Causal structure among US corn futures and regional cash prices in the time and frequency domain
• Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
• Does quantile co-integration exist between gold spot and futures prices?

This page was built for publication: Market-dependent causality between futures and spot

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3131133)