Risk correlation identification of futures market based on wavelet transform and quantile Granger causality test.

ABSTRACT: Futures market is an important part of the financial market, with a high degree of liquidity and leverage effect. However, the futures market is also faced with various risk factors, such as price fluctuations, market shocks, supply and demand changes. In order to better determine the risk correlation between specific futures markets, this paper uses the wavelet transform-quantile Granger causality test method to identify the risk correlation of four major futures markets in the US futures market from the end of January 2009 to the end of March 2023, such as gold, crude oil, soybeans and natural gas. It provides a new perspective and method for the risk correlation identification of the futures market. The results show that futures contracts with different maturities and price fluctuations

SUBMITTER: Wu ZQ 

PROVIDER: S-EPMC10655996 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature