Re-examining the movements of crude oil spot and futures prices over time

We carry out a (partial) replication exercise of Chang and Lee (2015) unit root and cointegration analyses of crude oil spot and futures prices. In doing so, we offer an updated and expanded analysis based on a much wider set of oil futures series than that considered by Chang and Lee, and we consid...

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Autores:

Tipo de recurso:

Fecha de publicación:

2019

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23935

Acceso en línea:

https://doi.org/10.1016/j.eneco.2017.08.034
https://repository.urosario.edu.co/handle/10336/23935

Palabra clave:

Costs
Crude oil
Financial markets
Causality
Cointegration
Cointegration analysis
Futures prices
Qualitative differences
Spot and futures prices
Spot price
Temporal aggregation
Contracts
Cointegration analysis
Crude oil
Energy market
Future prospect
Price dynamics
Qualitative analysis
Causality
Cointegration
Crude oil
Futures prices
Speed of adjustment
Spot price

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