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Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis
12 references·16 citing·36 second hop
Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis (1994)Price discovery in petroleum markets: Arb…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Tests of exchange market efficiency: fragile evidence from cointegration tests (1991)Tests of exchange market effi…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…PRACTITIONERS CORNER: Maximum Likelihood Estimation of Cointegration Vectors: An Example of The Johansen Procedure‡ (1989)PRACTITIONERS CORNER: Maximum…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Price Movements and Price Discovery in Futures and Cash Markets (1983)Price Movements and Price Dis…Analyzing time-varying volatility spillovers between the crude oil markets using a new method (2020)Analyzing time-varying volati…Contemporaneous and Granger causality among US corn cash and futures prices (2018)Contemporaneous and Granger c…Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis (2017)Intraday price information fl…Cointegration and price discovery in US corn cash and futures markets (2017)Cointegration and price disco…Price discovery and investor structure in stock index futures (2010)Price discovery and investor …Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Market Efficiency of Oil Spot…Forecasting oil price movements with crack spread futures (2008)Forecasting oil price movemen…Dynamic analysis between the US stock returns and the macroeconomic variables (2007)Dynamic analysis between the …AnN‐factor Gaussian model of oil futures prices (2006)AnN‐factor Gaussian model of …Relationships among U.S. oil prices and oil industry equity indices (2003)Relationships among U.S. oil …Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations (2003)Causality and volatility spil…Price discovery in floor and screen trading systems (2002)Price discovery in floor and …Asset storability and price discovery in commodity futures markets: A new look (2001)Asset storability and price d…An analysis of the relationship between electricity and natural‐gas futures prices (2001)An analysis of the relationsh…Risk arbitrage opportunities in petroleum futures spreads (1999)Risk arbitrage opportunities …Reducing the Impacts of Energy Price Volatility Through Dynamic Portfolio Selection (1998)Reducing the Impacts of Energ…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Interest Rate Parity Theorem: A Reinterpretation (1973)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Long memory processes and fractional integration in econometrics (1996)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1991Tests of exchange market efficiency: fragile evidence from cointegration tests166 cited
  • 1989PRACTITIONERS CORNER: Maximum Likelihood Estimation of Cointegration Vectors: An Example of The Johansen Procedure‡117 cited

Cited by

  • 2007Dynamic analysis between the US stock returns and the macroeconomic variables256 cited
  • 2003Relationships among U.S. oil prices and oil industry equity indices225 cited

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2001
Asset storability and price discovery in commodity futures markets: A new look
224 cited
  • 2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method206 cited
  • 2018Contemporaneous and Granger causality among US corn cash and futures prices154 cited
  • 2006AnN‐factor Gaussian model of oil futures prices124 cited
  • 2003Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations124 cited
  • 2010Price discovery and investor structure in stock index futures122 cited
  • 2008Forecasting oil price movements with crack spread futures122 cited
  • 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach121 cited
  • 2017Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis115 cited
  • 2017Cointegration and price discovery in US corn cash and futures markets112 cited
  • 1999Risk arbitrage opportunities in petroleum futures spreads112 cited
  • 2002Price discovery in floor and screen trading systems109 cited
  • 1998Reducing the Impacts of Energy Price Volatility Through Dynamic Portfolio Selection108 cited
  • 2001An analysis of the relationship between electricity and natural‐gas futures prices105 cited