Threshold cointegration analysis of crude oil benchmarks

Shawkat M. Hammoudeh, Bradley T. Ewing, Mark Andrew Thompson

Research output: Contribution to specialist publicationArticle

51 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages79-95
Number of pages17
Volume29
No4
Specialist publicationEnergy Journal
DOIs
StatePublished - Jan 1 2008

Fingerprint

Crude oil
Physical properties
Benchmark
Cointegration analysis
Threshold cointegration
Oils
Long-run equilibrium
Oil
Dubai
Adjustment process
Asymmetry

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

Cite this

Threshold cointegration analysis of crude oil benchmarks. / Hammoudeh, Shawkat M.; Ewing, Bradley T.; Thompson, Mark Andrew.

In: Energy Journal, Vol. 29, No. 4, 01.01.2008, p. 79-95.

Research output: Contribution to specialist publicationArticle

Hammoudeh, Shawkat M. ; Ewing, Bradley T. ; Thompson, Mark Andrew. / Threshold cointegration analysis of crude oil benchmarks. In: Energy Journal. 2008 ; Vol. 29, No. 4. pp. 79-95.
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