Did crisis alter trading of two major oil futures markets?

DOI10.1007/S11147-017-9133-7zbMath1417.91429OpenAlexW2606822997MaRDI QIDQ1621634

Iman Adeinat, Peihwang Wei, Naseem Al Rahahleh

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9133-7

zbMATH Keywords

financial crisisprice discoveryoil futurestrading characteristics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Statistical analysis of cointegration vectors
• Estimating the dimension of a model
• Liquidity and CDS premiums on European companies around the subprime crisis
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market *

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