 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?Kuang-Liang Chang Applied Economics, 2025, vol. 57, issue 23, 2979-2997 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, and natural gas) by utilizing a time-varying and asymmetric mixture copula model with an extended generalized autoregressive score (GAS) evolution mechanism to update the mixture parameter. The empirical results demonstrate that the direction and magnitude of the information on the spread hinges on regimes and energy commodities. Both the spread and its skewness can asymmetrically influence the interdependence between crude oil spot and futures market, and their influences are stronger in the contango market than in the backwardation market. Compared to the crude oil market, only the impact of the futures-spot spread is evident for the remaining markets, and the strength of influence is stronger in the backwardation market than in the contango market. Date: 2025 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:57:y:2025:i:23:p:2979-2997 Ordering information: This journal article can be ordered from DOI: 10.1080/00036846.2024.2331970 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
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