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Shocks propagation across the futures term structure : evidence from crude oil prices

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Academic year: 2021

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Figure

Figure 1 depicts the evolution of the daily prices levels of (left-hand side panel) — and the rates of return on fully collateralized positions in (right-hand side panel) — the nearby, one-year-out, and two-year-out West Texas Intermediate (WTI) light swee
Figure 3: Mutual Information Shared Daily by Each Maturity with All Other Maturities, 2001-2017
Figure 5: Average Daily Total Transfer Entropies by Maturity, 2001-2017
Figure 6: Daily Transfer Entropy Emitted by Each Maturity to All Other Maturities, 2001-2017
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