Is there a Global Relationship Across Crude Oil Benchmarks?
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Agricultural and Applied Economics Association in its series 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. with number 150368.
Date of creation: 2013
Date of revision:
Contact details of provider:
Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org
More information through EDIRC
International Relations/Trade; Resource /Energy Economics and Policy;
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ignacio N Lobato & Carlos Velasco, 2007.
"Efficient Wald Tests for Fractional Unit Roots,"
Econometric Society, vol. 75(2), pages 575-589, 03.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
"On the relation between the expected value and the volatility of the nominal excess return on stocks,"
157, Federal Reserve Bank of Minneapolis.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Maslyuk, Svetlana & Smyth, Russell, 2008.
"Unit root properties of crude oil spot and futures prices,"
Elsevier, vol. 36(7), pages 2591-2600, July.
- Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Development Research Unit Working Paper Series 40-07, Monash University, Department of Economics.
- Shawkat M. Hammoudeh & Bradley T. Ewing & Mark A. Thompson, 2008. "Threshold Cointegration Analysis of Crude Oil Benchmarks," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 79-96.
- Peter S. Sephton, 2003. "Spatial Market Arbitrage and Threshold Cointegration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(4), pages 1041-1046.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
- Goodwin, Barry K. & Piggott, Nicholas E., 1999.
"Spatial Market Integration In The Presence Of Threshold Effects,"
1999 Annual meeting, August 8-11, Nashville, TN
21489, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Barry K. Goodwin & Nicholas E. Piggott, 2001. "Spatial Market Integration in the Presence of Threshold Effects," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(2), pages 302-317.
- Myunghwan Seo, 2005.
"Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap,"
STICERD - Econometrics Paper Series
/2005/484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Seo, Myung Hwan, 2008. "Unit Root Test In A Threshold Autoregression: Asymptotic Theory And Residual-Based Block Bootstrap," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1699-1716, December.
- Myunghwan Seo, 2004. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings 494, Econometric Society.
- Myung Hwan Seo, 2005. "Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap," LSE Research Online Documents on Economics 6836, London School of Economics and Political Science, LSE Library.
- Meyer, Jochen, 2004.
"Measuring market integration in the presence of transaction costs--a threshold vector error correction approach,"
Blackwell, vol. 31(2-3), pages 327-334, December.
- Meyer, Jochen, 2003. "Measuring Market Integration In The Presence Of Transaction Costs - A Threshold Vector Error Correction Approach," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25869, International Association of Agricultural Economists.
- Titus O. Awokuse & Xiaohong Wang, 2009. "Threshold Effects and Asymmetric Price Adjustments in U.S. Dairy Markets," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 57(2), pages 269-286, 06.
- Fattouh, Bassam, 2010. "The dynamics of crude oil price differentials," Energy Economics, Elsevier, vol. 32(2), pages 334-342, March.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
"Efficient Tests for an Autoregressive Unit Root,"
NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
- Lanza, Alessandro & Manera, Matteo & Giovannini, Massimo, 2005. "Modeling and forecasting cointegrated relationships among heavy oil and product prices," Energy Economics, Elsevier, vol. 27(6), pages 831-848, November.
- Nathan S. Balke & Stephen P. A. Brown & Mine Yücel, 1998. "Crude oil and gasoline prices: an asymmetric relationship?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q 1, pages 2-11.
- Goetz, Linde & von Cramon-Taubadel, Stephan, 2008. "Considering threshold effects in the long-run equilibrium in a vector error correction model: An application to the German apple market," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44247, European Association of Agricultural Economists.
- Peter S. Sephton, 2011. "Spatial Arbitrage in Sarawak Pepper Prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 59(3), pages 405-416, 09.
- Peri, Massimo & Baldi, Lucia, 2010. "Vegetable oil market and biofuel policy: An asymmetric cointegration approach," Energy Economics, Elsevier, vol. 32(3), pages 687-693, May.
- Haesun Park & James Mjelde & David Bessler, 2007. "Time-varying threshold cointegration and the law of one price," Applied Economics, Taylor & Francis Journals, vol. 39(9), pages 1091-1105.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 56(2), pages 54-77.
- Lo, Ming Chien & Zivot, Eric, 2001. "Threshold Cointegration And Nonlinear Adjustment To The Law Of One Price," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 533-576, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.