Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations
Tóm tắt
Từ khóa
Tài liệu tham khảo
Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1
Bopp, 1987, Are petroleum futures prices good predictors of cash value, The Journal of Futures Markets, 7, 705, 10.1002/fut.3990070609
Crowder, 1993, A cointegration test for oil futures market efficiency, Journal of Futures Markets, 13, 933, 10.1002/fut.3990130810
Engle, 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica, 50, 251, 10.2307/1912773
Gulen, 1999, Regionalization in world crude oil markets: Further evidence, The Energy Journal, 20, 125, 10.5547/ISSN0195-6574-EJ-Vol20-No1-7
Johansen, 1990, Maximum likelihood estimation and inferences on cointegration with applications to demand for money, Oxford Bulletin of Economics and Statistics, 52, 169, 10.1111/j.1468-0084.1990.mp52002003.x
Pindyck, 2001, The dynamics of commodity spot and futures markets: Primer, The Energy Journal, 22, 1, 10.5547/ISSN0195-6574-EJ-Vol22-No3-1
Sadorsky, 2000, The empirical relationship between energy futures prices and exchange rates, Energy Economics, 22, 253, 10.1016/S0140-9883(99)00027-4
Schwartz, 1994, Price discovery in petroleum markets: Arbitrage, cointegration and the time interval of analysis, The Journal of Futures Markets, 14, 147, 10.1002/fut.3990140204
Serletis, 1990, Market efficiency and cointegration: An application to petroleum markets, Review of Futures Markets, 9, 372
Silvapulle, 1999, The relationship between spot and futures prices: Evidence from the crude oil market, The Journal of Futures Markets, 19, 175, 10.1002/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H
Urbain, 1992, On weak exogeneity in error correction models, Oxford Bulletin of Economics and Statistics, 54, 187, 10.1111/j.1468-0084.1992.mp54002004.x