The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality
نویسندگان
چکیده
منابع مشابه
Unit Root Properties of Crude Oil Spot and Futures Prices
In this paper we examine whether WTI and Brent crude oil spot and futures prices (at one, three and six months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991-2004. To realize this objective we employ Lagrange Multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Stazicich (2003, 2004). W...
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ژورنال
عنوان ژورنال: Energy Economics
سال: 2008
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2008.03.006