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Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices

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Academic year: 2021

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Figure

Figure 1: WTI crude oil futures prices and returns, 2000-2014
Figure 2: Average mutual information M T
Figure 3: Mutual information shared at date t by each contract with all others, 2000-2014
Figure 4: Mutual information shared by one maturity with all others averaged over the period, 2000-2014
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