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• W1967484018 abstract "This paper investigates the time-varying correlation and the causal relationship between crude oil spot and futures prices using a newly developed approach — wavelet coherency analysis in time–frequency domain. First, we find evidence of a long-run cointegration relationship between oil spot and futures prices. Moreover, the short-run causality is more significant in shorter maturity pairs versus longer maturity pairs in the vector error correction framework. Second, the results from wavelet coherency analysis show significant dynamic correlations between variables in the time–frequency domain. Third, the illustration of the phase-difference series around zero suggests that spot and futures prices contribute to the dynamics of the long-run equilibrium. Fourth and finally, we provide reasons for the structural changes in oil prices and also recommend investment strategies corresponding to risk diversification. Future studies focusing on the behavior of oil prices should consider the characteristics of the time–frequency space and lead–lag dynamic relationships." @default.
• W1967484018 created "2016-06-24" @default.
• W1967484018 creator A5048052041 @default.
• W1967484018 creator A5053491075 @default.
• W1967484018 date "2015-07-01" @default.
• W1967484018 modified "2023-10-15" @default.
• W1967484018 title "Do oil spot and futures prices move together?" @default.
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• W1967484018 doi "https://doi.org/10.1016/j.eneco.2015.02.014" @default.
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