Crude Oil Spot Price Forecasting Using Ivanov-Based LASSO Vector Autoregression

Table 6

Pearson’s correlation between different commodities (2019).

	USCG	NYCG	Brent	WTI	NYHO	USJF	MB	LADF	USDF	NYDF
USCG	1.0000
NYCG	0.9594	1.0000
Brent	0.6896	0.7314	1.0000
WTI	0.7781	0.8316	0.8997	1.0000
NYHO	0.5547	0.6617	0.8163	0.8418	1.0000
USJF	0.6407	0.7141	0.8167	0.8174	0.9033	1.0000
MB	−0.0599	−0.0253	0.3741	0.2075	0.4266	0.3479	1.0000
LADF	0.6384	0.7228	0.7045	0.7340	0.8123	0.7267	0.2024	1.0000
USDF	0.6400	0.7145	0.8348	0.8467	0.9593	0.9568	0.4039	0.7810	1.0000
NYDF	0.5600	0.6650	0.8282	0.8463	0.9965	0.9171	0.4487	0.8004	0.9665	1.0000