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Modeling and forecasting cointegrated relationships among heavy oil and product prices

  • Lanza, Alessandro
  • Manera, Matteo
  • Giovannini, Massimo

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File URL: http://www.sciencedirect.com/science/article/B6V7G-4H21KC9-1/2/32cc998e403076b3f34ef25ca87cbd82
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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 27 (2005)
Issue (Month): 6 (November)
Pages: 831-848

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Handle: RePEc:eee:eneeco:v:27:y:2005:i:6:p:831-848
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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  1. Douglas G. Sauer, 1994. "Measuring Economic Markets for Imported Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 107-124.
  2. Adrangi, Bahram & Chatrath, Arjun & Raffiee, Kambiz & D. Ripple, Ronald, 2001. "Alaska North Slope crude oil price and the behavior of diesel prices in California," Energy Economics, Elsevier, vol. 23(1), pages 29-42, January.
  3. Asche, Frank & Gjolberg, Ole & Volker, Teresa, 2003. "Price relationships in the petroleum market: an analysis of crude oil and refined product prices," Energy Economics, Elsevier, vol. 25(3), pages 289-301, May.
  4. M. A. Adelman, 1984. "International Oil Agreements," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-10.
  5. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
  6. Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
  7. Shaked, Avner & Sutton, John, 1982. "Relaxing Price Competition through Product Differentiation," Review of Economic Studies, Wiley Blackwell, vol. 49(1), pages 3-13, January.
  8. Paul Berhanu Girma & Albert S. Paulson, 1999. "Risk arbitrage opportunities in petroleum futures spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(8), pages 931-955, December.
  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  10. Gjolberg, Ole & Johnsen, Thore, 1999. "Risk management in the oil industry: can information on long-run equilibrium prices be utilized?," Energy Economics, Elsevier, vol. 21(6), pages 517-527, December.
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