Do the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes and energy commodities markets?
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DOI: 10.1080/00036846.2024.2331970
Abstract: ABSTRACT This paper investigates whether the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes (backwardation and contango) and energy commodities (crude oil, gasoline, heating oil,… read more here.
Keywords: spread skewness; market; spot; spot futures ... See more keywords