The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach

Energy Economics

Volumn 31, Issue 1, 2009, Pages 91-98

  Huang, Bwo Nung ^a,b   Yang, C W ^a,c   Hwang, M J ^a,b  

^a NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

^b WEST VIRGINIA UNIVERSITY   (United States)

^c CLARION UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Backwardation; Contango; Multivariate threshold; Price discovery; Regime

Indexed keywords

CRUDE PETROLEUM; ERROR CORRECTION; HYDROELECTRIC POWER;

BACKWARDATION; CONTANGO; MULTIVARIATE THRESHOLD; PRICE DISCOVERY; REGIME;

COSTS;

CRUDE OIL; EMPIRICAL ANALYSIS; ENERGY MARKET; ERROR CORRECTION; MODELING; MULTIVARIATE ANALYSIS; PRICE DYNAMICS; REGRESSION ANALYSIS;

EID: 56949088854     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2008.08.002     Document Type: Article

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