Journal ArticleDOI
Global relationships across crude oil benchmarks
Janelle Mann,Peter S. Sephton +1 more
TLDR
The authors empirically examines relationships and dynamics between the price of three crude oil benchmarks, namely the WTI, Brent, and Oman, and finds that a long run relationship exists between the pairs (WTI-Brent and WTI-Oman) of spatially separated spot markets.About:
This article is published in Journal of Commodity Markets.The article was published on 2016-06-01. It has received 23 citations till now. The article focuses on the topics: Spot contract & Cointegration.read more
Citations
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Journal ArticleDOI
A Markov regime-switching model of crude oil market integration
TL;DR: This article revisited the globalization-regionalization hypothesis for the world crude oil market and examined long-run equilibrium relationships between major crude oil prices, focusing on the adjustment behavior following disequilibrium states.
Journal ArticleDOI
A review of the evidence on the relation between crude oil prices and petroleum product prices
TL;DR: This paper reviewed a large body of empirical literature focusing on the relation between petroleum product prices and oil prices and discuss the evidence on the direction of causality between crude oil prices, and also survey the literature on the much-debated question of whether petroleum products respond differently to increases versus decreases in oil prices.
Journal ArticleDOI
Gold and crude oil prices after the great moderation
Peter S. Sephton,Janelle Mann +1 more
TL;DR: In this article, the authors examined how a shock to oil prices affects gold prices, with the impacts shown to depend on both the size of the shock and the region within which the system lies when the shock occurs.
Journal ArticleDOI
A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.
TL;DR: In this paper, a novel focus is presented from the application of the fractionally cointegrated vector autoregressive (FCVAR) approach, which allows the rigidity of the standard cointegration to be solved.
Journal ArticleDOI
The impact of oil shocks on innovation for alternative sources of energy: Is there an asymmetric response when oil prices go up or down?
TL;DR: In this article, negative binomial regression is applied to a panel data set of the 10 most innovative countries concerning alternative energy technologies, in order to assess the impact of oil price variations on this innovation, using counts of patent applications as a proxy.
References
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Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
ReportDOI
Efficient Tests for an Autoregressive Unit Root
TL;DR: In this paper, a modified version of the Dickey-Fuller t test is proposed to improve the power when an unknown mean or trend is present, and a Monte Carlo experiment indicates that the modified test works well in small samples.
Journal ArticleDOI
Spatial Market Integration in the Presence of Threshold Effects
TL;DR: In this paper, the authors evaluate daily price linkages among four corn and four soybean markets in North Carolina and find strong support for market integration, though adjustments following shocks may take many days to be complete.
Journal ArticleDOI
Threshold cointegration and nonlinear adjustment to the law of one price
Ming Chien Lo,Eric Zivot +1 more
TL;DR: In this article, a general multivariate threshold cointegration model was developed and a systematic testing and estimation strategy for this model, building on the work of others, using Monte Carlo experiments.