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

DOI10.1016/j.econlet.2005.05.037zbMath1254.91645MaRDI 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 cointegration; asymmetric adjustment; crude oil; spot gasoline price

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

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