Fractional cointegration in bitcoin spot and futures markets
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Futures Markets"
DOI: 10.1002/fut.22216
Abstract: This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020 We find that bitcoin spot and… read more here.
Keywords: bitcoin spot; bitcoin; spot; price discovery ... See more keywords
Spillover effect between carbon spot and futures market: evidence from EU ETS
Sign Up to like & getrecommendations! Published in 2020 at "Environmental Science and Pollution Research"
DOI: 10.1007/s11356-020-11653-8
Abstract: The spillover effects of European Union Allowances (EUA) spot and futures markets are important for investors in order to understand the relevance and risk management of product prices. This paper uses non-linear methods of Granger… read more here.
Keywords: spillover effect; eua spot; spot; non linear ... See more keywords
New empirical evidence in support of the theory of price volatility of storable commodities under rational expectations in spot and futures markets
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105375
Abstract: Abstract The impact of futures markets on the spot price volatility of storable commodities can be either stabilizing or destabilizing. The underlying theoretical model determines that the impact depends on whether the dominant/prevailing disturbance in… read more here.
Keywords: price volatility; storable commodities; spot; volatility storable ... See more keywords
Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101706
Abstract: Abstract We study the simultaneity impact of the European Central Bank news on the daily realized volatility transmission mechanism (spillovers) among various US spot and futures markets. To this end, we apply a bias-corrected vector… read more here.
Keywords: ecb news; news; realized volatility; spot futures ... See more keywords
Does bitcoin liquidity resemble the liquidity of other financial assets?
Sign Up to like & getrecommendations! Published in 2022 at "Australian Journal of Management"
DOI: 10.1177/03128962211069615
Abstract: Bitcoin is becoming a popular financial asset and means of transacting. However, little is known about an important aspect of the bitcoin market: its liquidity. We consider whether various dimensions of liquidity evident in other… read more here.
Keywords: bitcoin; bitcoin liquidity; liquidity resemble; resemble liquidity ... See more keywords
Stock Index Spot–Futures Arbitrage Prediction Using Machine Learning Models
Sign Up to like & getrecommendations! Published in 2022 at "Entropy"
DOI: 10.3390/e24101462
Abstract: With the development of quantitative finance, machine learning methods used in the financial fields have been given significant attention among researchers, investors, and traders. However, in the field of stock index spot–futures arbitrage, relevant work… read more here.
Keywords: spot futures; machine learning; futures arbitrage; arbitrage ... See more keywords