| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383050 | Physica A: Statistical Mechanics and its Applications | 2011 | 13 Pages |
Abstract
⺠The correlations between crude oil spot and futures prices are overall symmetric. ⺠Some extreme events can cause asymmetries of exceedance correlations. ⺠Cross-correlations between crude oil spot and futures prices are significant. ⺠Some extreme events can cause significantly persistent cross-correlation.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Li Liu, Jieqiu Wan,