Abstract
The explicit linkage between spot and futures prices is highlighted in financial theory by both non-arbitrage and asset pricing theory. Many studies have considered the relationship between the spot and futures prices of the crude oil market; however, most of these works used traditional methods such as cointegration or the Granger test . The generalized autoregressive conditional heteroskedasticity, linear vector error correlation, and nonlinear threshold vector error correlation models are also employed to investigate the relationship between oil spot and futures markets.
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Cao, G., He, LY., Cao, J. (2018). Asymmetric DCCA Cross-Correlation Coefficient. In: Multifractal Detrended Analysis Method and Its Application in Financial Markets. Springer, Singapore. https://doi.org/10.1007/978-981-10-7916-0_7
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DOI: https://doi.org/10.1007/978-981-10-7916-0_7
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