A COINTEGRATION ANALYSIS OF PETROLEUM FUTURES PRICES

被引：52
|
作者：
SERLETIS, A
机构：
[1] Department of Economics, The University of Calgary, Calgary
来源：
ENERGY ECONOMICS | 1994年 / 16卷 / 02期
关键词：
COINTEGRATION; COMMON TRENDS; PETROLEUM FUTURES PRICES;
D O I：
10.1016/0140-9883(94)90002-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper presents evidence concerning the number of common stochastic trends in a system of three petroleum futures prices (crude oil, heating oil and unleaded gasoline) using daily data from 3 December 1984 to 30 April 1993. Johansen's maximum likelihood approach for estimating long-run relations in multivariate vector autoregressive models is used. The results indicate the presence of only one common trend.
引用
收藏
页码：93 / 97
页数：5
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