A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices

DOI10.1016/J.ECONLET.2005.05.037zbMath1254.91645OpenAlexW2031145975MaRDI QIDQ1928702

Miles Finney, Kon S. Lai, Li-Hsueh Chen

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.05.037

zbMATH Keywords

threshold cointegrationasymmetric adjustmentcrude oilspot gasoline price

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Modelling, forecasting and trading with a new sliding window approach: the crack spread example ⋮ A threshold cointegration test with increased power ⋮ Nonlinear joint dynamics between prices of crude oil and refined products

Cites Work

• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Efficient Tests for an Autoregressive Unit Root

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