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

DOI10.1016/J.ECONLET.2005.05.037zbMATH Open1254.91645OpenAlexW2031145975MaRDI QIDQ1928702FDOQ1928702

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

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

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zbMATH Keywords

threshold cointegrationasymmetric adjustmentcrude oilspot gasoline price

Mathematics Subject Classification ID

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

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

Cited In (6)

• Nonlinear joint dynamics between prices of crude oil and refined products
• A threshold cointegration test with increased power
• Rockets and feathers behaviour in the Spanish gasoline and diesel market: new evidence
• Modelling, forecasting and trading with a new sliding window approach: the crack spread example
• The Demand for Gasoline in China: A Cointegration Analysis
• Do daily retail gasoline prices adjust asymmetrically?

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