Concepedia

Time-varying lead–lag structure between the crude oil spot and futures markets

Ying-Hui Shao, Yanhong Yang, Hao-Lin Shao, H. Eugene Stanley

Physica A Statistical Mechanics and its Applications · 2019 · 44 citations · 43 references

Concepts

AgricultureFinanceCommodity MarketsFinancial EconomicsTime Series AnalysisFutures MarketsLead Time AnalysisOil EconomicsSpot MarketsTemporal Dependence ModelingTime Series ForecastingCrude Oil MarketsFutures-spot RelationshipLag Structure AnalysisLead-lag RelationsLead-lag RelationshipsOil Futures MarketsSpot Market Dynamics

References

43

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

Social Sciences, Economics, Causal Inference +8

Efficient Capital Markets: II

Eugene F. Fama · The Journal of Finance · 1991 · 5.2K citations · Full text

Social Sciences, Business Economics, Economics +12

Testing for unit roots in autoregressive-moving average models of unknown order

Saïd E. Saïd, David A. Dickey · Biometrika · 1984 · 3.2K citations

Social Sciences, Economics, Econometrics +8

Oil price shocks and stock market activity

Perry Sadorsky · Energy Economics · 1999 · 1.8K citations

Business, Economics, Finance +14