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The dynamics of crude oil price differentials

Subtitle:
OIES paper: M39
Abstract:

We model crude oil price differentials as a two-regime threshold autoregressive (TAR) process using Caner and Hansen’s (2001) method. While standard unit root tests, such as the Augmented Dickey–Fuller (ADF), are inconclusive in some instances on whether oil price differentials follow a stationary process, the null hypothesis of unit root can be strongly rejected based on the threshold unit root test, even for crude oils with very different qualities. Our results also indicate that the adjust...

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Publication status:
Published
Peer review status:
Reviewed (other)
Version:
Publisher's version

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Institution:
University of Oxford
Research group:
Oxford Institute for Energy Studies
Publisher:
Oxford Institute for Energy Studies Publisher's website
Publication date:
2008
URN:
uuid:450ec340-960a-4721-bc99-0e6645ef08c7
Local pid:
ora:10573
ISBN:
978-1-901795-70-7

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