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The lead-lag relationships between spot and futures prices of natural gas

  • Published:2018-01 Issue: Volume:490 Page:203-211
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Zhang Yahui,Liu Li

Funder

National Science Foundation of China

Qing Lan Project in Jiangsu province

open project of Jiangsu key laboratory of financial engineering

Top-notch Academic Programs Project of Jiangsu Higher Education Institutions

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference30 articles.

1. Intraday price formation in U.S. equity index markets;Hasbrouck;J. Finance,2003

2. The empirical research of the relationship of spot and futures: based on the data of CSI300 index future;Zhang;Value Eng.,2011

3. Price discovery and asymmetric volatility spillovers in Indian spot-futures gold markets;Srinivasan;Int. J. Econ. Sci. Appl. Res.,2012

4. Price discovery mechanism of spot and futures market in India: A case of selected agri-commodities;Shakeel;Int. Res. J. Bus. Manag.,2014

5. The relationship between spot and futures prices in Brent oil crude market;Mehrara;Int. J. Learn.,2014

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