Unit root properties of crude oil spot and futures prices

In this article, we examine whether WTI and Brent crude oil spot and futures prices (at 1, 3 and 6 months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991–2004. To realise this objective we employ Lagrange multiplier (LM) unit root tests...

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Detalles Bibliográficos
Autores principales: Maslyuk, Svetlana, Smyth, Russell
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2008
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7116987/
https://www.ncbi.nlm.nih.gov/pubmed/32287867
http://dx.doi.org/10.1016/j.enpol.2008.03.018

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7116987/
https://www.ncbi.nlm.nih.gov/pubmed/32287867
http://dx.doi.org/10.1016/j.enpol.2008.03.018

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