TY - GEN
T1 - Threshold cointegration analysis of crude oil benchmarks
AU - Hammoudeh, Shawkat M.
AU - Ewing, Bradley T.
AU - Thompson, Mark A.
PY - 2008
Y1 - 2008
N2 - The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.
AB - The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.
UR - http://www.scopus.com/inward/record.url?scp=54349120070&partnerID=8YFLogxK
U2 - 10.5547/ISSN0195-6574-EJ-Vol29-No4-4
DO - 10.5547/ISSN0195-6574-EJ-Vol29-No4-4
M3 - Article
AN - SCOPUS:54349120070
SN - 0195-6574
VL - 29
SP - 79
EP - 95
JO - Energy Journal
JF - Energy Journal
ER -