Cointegration between oil spot and future prices of the same and different grades in the presence of structural change

The purpose of this study is to examine whether crude oil spot and futures prices of the same and different grades are cointegrated using a residual-based cointegration test that allows for one structural break in the cointegrating vector and high-frequency data. We choose the US WTI and the UK Bren...

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Detalles Bibliográficos
Autores principales: Maslyuk, Svetlana, Smyth, Russell
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2009
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7126285/
https://www.ncbi.nlm.nih.gov/pubmed/32287869
http://dx.doi.org/10.1016/j.enpol.2009.01.013

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7126285/
https://www.ncbi.nlm.nih.gov/pubmed/32287869
http://dx.doi.org/10.1016/j.enpol.2009.01.013

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