A Non-Linear Dependence Analysis of Oil, Coal and Natural Gas Futures with Brownian Distance Correlation

This paper proposes the use of the Brownian distance correlation to conduct a lead-lag analysis of financial and economic time series. When this methodology is applied to asset prices, the non-linear relationships identified may improve the price discovery process of these assets. The Brownian distance correlation determines relationships similar to those identified by the linear Granger causality test, and it also uncovers additional non-linear relationships among the log prices of oil, coal, and natural gas.