Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework

DOI10.1007/S10479-021-04172-3zbMath1494.91150OpenAlexW3183693389MaRDI QIDQ2150851

Zied Ftiti, Hachmi Ben Ameur, Wael Louhichi

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/s10479-021-04172-3

zbMATH Keywords

spot marketlead-lag relationshipcommodity marketsfutures marketNARDL

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

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

Cites Work

• Temporal clustering of time series via threshold autoregressive models: application to commodity prices
• Can commodities dominate stock and bond portfolios?
• Unnamed Item
• Unnamed Item

This page was built for publication: Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework