Spot and futures prices relationship test

spot and futures prices relationship test

5 Tests on Granger-Causality. 6 Summary and Conclusion. Georg Valentin Lehecka. Relationship between Commodity Futures and Spot Prices. relationship between spot and futures markets. Next, using recent price data for for crude oil, we perform Granger causality tests to empirically uncover the. lead–lag relationships between spot and futures prices of commodities with the cointegration to test the simple efficiency hypothesis and the arbitrage.

spot and futures prices relationship test

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spot and futures prices relationship test