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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier Ltd.
2008
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| 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 |