دانلود مقاله ISI انگلیسی شماره 94471
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94471 2018 9 صفحه PDF سفارش دهید 5769 کلمه
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عنوان انگلیسی
The lead-lag relationships between spot and futures prices of natural gas
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 490, 15 January 2018, Pages 203-211

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چکیده انگلیسی

The lead-lag relationships between spot and futures markets are of great interest for academics. Previous studies neglect the possibility of nonlinear behaviors which may be caused by asymmetry or persistence. To fill this gap, this paper uses the MF-DCCA method and the linear and nonlinear causality tests to explore the causal relationships between natural gas spot and futures prices in the New York Mercantile Exchange. We find that spot and futures prices are positive cross-correlated, the natural gas futures can linearly Granger cause spot price, and there are bidirectional nonlinear causality relationships between natural gas spot and futures prices. Further, we explore the sources of nonlinear causality relationships, and find that the volatility spillover can partly explain the nonlinear causality and affect their cross-correlations.

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