Causal relationship between spot and futures prices with multiple time horizons : a nonparametric wavelet Granger causality test
Erdost Torun, Tzu-Pu Chang, Ray Y. Chou
| Year of publication: |
2020
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|---|---|
| Authors: | Torun, Erdost ; Chang, Tzu-Pu ; Chou, Ray Yeutien |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 52.2020, p. 1-18
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| Subject: | Futures market | Granger causality | Time-frequency analysis | Wavelet | Kausalanalyse | Causality analysis | Rohstoffderivat | Commodity derivative | Zustandsraummodell | State space model | Theorie | Theory | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Spotmarkt | Spot market | Kointegration | Cointegration | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2019.101115 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012543339