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This research paper investigates the dynamic connections and causality between spot and futures prices in the crude oil, natural gas, and gold markets, based on the cost-of-carry model. The authors employ recursive bivariate VAR models and Granger-causality analysis on daily price data from January 1997 to September 2013, revealing that interactions between spot and futures prices depend on market type and contract maturity. The findings have implications for various stakeholders, including producers and po

Author

ttk03549

Language

EN