Examining asymmetric behavior in US petroleum futures and spot prices

Energy Journal

Volumn 27, Issue 3, 2006, Pages 9-23

  Ewing, Bradley T ^a   Hammoudeh, Shawkat M ^b   Thompson, Mark A ^c  

^a TEXAS TECH UNIVERSITY   (United States)

^b DREXEL UNIVERSITY   (United States)

^c UNIVERSITY OF ARKANSAS AT LITTLE ROCK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; CRUDE PETROLEUM; ERROR CORRECTION; MARKETING; MATHEMATICAL MODELS;

ENERGY MARKETS; MOMENTUM-THRESHOLD AUTOREGRESSIVE (M-TAR) MODEL; SPOT PRICES;

PETROLEUM INDUSTRY;

EID: 33746129909     PISSN: 01956574     EISSN: None     Source Type: Trade Journal    
DOI: 10.5547/ISSN0195-6574-EJ-Vol27-No3-2     Document Type: Article

References (35)

1. Asche, F., O. Gjølberg and T. Völker (2003). "Price Relationships in the Petroleum Market: An Analysis of Crude Oil and Refined Product Prices." Energy Economics 25: 289-301.
2. Balke, N. and J. Fomby (1997). "Threshold Cointegration." International Economic Reviev 38: 627-643.
3. Bopp, A.and S. Sitzer (1987). "Are Petroleum Futures Prices Good Predictors of Cash Value?" Journal of Futures Markets 7: 705-719.
4. Caner, M. and B. Hansen (2001). "Threshold Autoregression with a Unit Root." Econometrica 69: 1555-1596.
5. Chan, K. (1993). "Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model." Annals of Statistics 21: 520-533.
6. Chan, K. and H. Tong (1989). "A Survey of the Statistical Analysis of a Univariate Threshold Autoregressive Model." In R. Mariano, ed., Advances in Statistical Analysis and Statistical Computing: Theory and Application, Vol. 2. Greenwich, CT: JAI Press.
7. Cootner, P. (1962). "Stock Prices: Random Versus Systematic Changes." Industrial Management Review 3: 24-45.
8. Crowder, W. J. and Hamid, A. (1993). "A Co-integration Test for Oil Futures Market Efficiency." Journal of Futures Market 13: 933-941.
9. Dumas, B. (1992). "Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World." Review of Financial Studies 5: 153-180.
10. Dumas, B. (1994). "Partial Equilibrium Versus General Equilibrium Models of the International Capital Market." In F. Van Der Ploeg, ed., The Handbook of International Macroeconomics. Oxford: Blackwell.
11. Energy Information Administration (1996). Petroleum 1996: Issues and Trends. DOE/EIA-0615.
12. Energy Information Administration. (2002). Gasoline Type Proliferation and Price Volatility. tonto. eia.doe.gov/FTPROOT/service/question8.pdf.
13. Enders, W. and C. Granger (1998). "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates." Journal of Business and Economic Statistics 16: 304-311.
14. Enders, W. and P. Siklos (2001). "Cointegration and Threshold Adjustment." Journal of Business and Economic Statistics 19: 166-176.
15. Engle, R. and C. Granger (1987). "Cointegration and Error Correction Representation, Estimation and Testing." Econometrica 55: 251-276.
16. Girma, P and A Paulson (1999). "Risk Arbitrage Opportunity in Petroleum Futures Spreads." Journal of Futures Markets 19: 931-955.
17. Gjolberg, O. and T. Johnsen (1999). "Risk Management in the Oil Industry: Can Information on Long-Run Equilibrium Prices be Utilized?" Energy Economics 21: 517-527.
18. Gulen, S. (1999). "Regionalization in World Crude Oil Markets: Further Evidence." Energy Journal 20(1): 125-139.
19. Hammoudeh, S., D. Lien, and H. Li (2006). "Petroleum Hedging Effectiveness under Different Model Specifications." Working Paper, Drexel University.
20. Hammoudeh, S. and H. Li (2004). "The Impact of the Asian Crisis on the Behavior of US and International Petroleum Prices." Energy Economics 26: 135-160.
21. Hammoudeh, S., H. Li, and B. Jeon (2003). "Causality and Volatility Spillover among Petroleum Prices of WTI, Gasoline and Heating Oil in Different Locations." North American Journal of Economics and Finance 14: 89-114.
22. Hansen, B. (1997). "Inference in TAR Models." Studies in Nonlinear Dynamics and Econometrics 1: 119-131.
23. Lanza, A., M. Manera and M. Giovannini (2005). "Modeling and Forecasting Cointegrated, Relationships among Heavy Oil and Product Prices." Energy Economics 27: 831-848.
24. Lien, D. (1996). "The Effect of the Cointegrating Relationship on Futures Hedging: A Note." Journal of Futures Markets 16: 773-780.
25. MacKinnon, J. (1991). "Critical Values for Cointegration Tests in Long Run Econometric Relationship." In R. Engle and C. Granger, eds., Readings in Cointegration. New York, NY: Oxford Press.
26. McMillan, D. (2005). "Non-Linear Dynamics in International Stock Market Returns." Review of Financial Economics 14: 81-91.
27. Root, T. and D. Lien (2003). "Can Modeling the Natural Gas Futures Market as a Threshold Cointegration System Improve Hedging and Forecasting Performance?" International Review of Financial Analysis 12: 117-133.
28. Sadorsky, P. (2000). "The Empirical Relationship between Energy Futures Prices and Exchange Rates." Energy Economics 22: 253-266.
29. Schwartz, T. and A. Szakmary (1994). "Price Discovery in Petroleum Markets: Arbitrage, Cointegration and the Time Interval of Analysis." Journal of Futures Markets 14: 147-167.
30. Sercu, P., R. Uppal, and C. Van Hulle (1995). "The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity." Journal of Finance 50: 1309-1319.
31. Serletis, A. (1994). "A Cointegration Analysis of Petroleum Futures Prices." Energy Economics 16: 93-97.
32. Serletis, A. and D. Banack (1990). "Market Efficiency and Cointegration: An Application to Petroleum Markets." Review of Futures Markets 9: 372-385.
33. Silvapulle, P. and I. Moosa (1999). "The Relationship between Spot and Futures Prices: Evidence from the Crude Oil Market." Journal of Futures Markets 19: 175-193.
34. Tang, L. and S. Hammoudeh (2002). "An Empirical Exploration of World Oil Price under the Target Zone Model." Energy Economics 24: 525-649.
35. Xiaowen, S. and M. Tamvakis (2001). "Spillover Effects in Energy Futures Markets." Energy Economics 23: 43-56.