The Time-Dependent Lead-Lag Relationship Between WTI and Brent Crude Oil Spot Markets

The Time-Dependent Lead-Lag Relationship Between WTI and Brent Crude Oil Spot Markets

Based on daily returns, we comprehensively characterize the lead-lag relationship between Brent and WTI crude oil spot markets from 1987 to 2017 with the non-parametric symmetric thermal optimal path (TOPS) method. The empirical results indicate that WTI spot price leads Brent spot price slightly, w...

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Bibliographic Details
Main Authors: Yanhong Yang, Yinghui Shao, Haolin Shao, Xin Song
Format: Article
Language:English
Published: Frontiers Media S.A. 2020-04-01
Series:Frontiers in Physics
Subjects:
oil prices
spot market
lead-lag relationship
symmetric thermal optimal path
WTI
Brent
Online Access:https://www.frontiersin.org/article/10.3389/fphy.2020.00132/full

Internet

https://www.frontiersin.org/article/10.3389/fphy.2020.00132/full

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