A cointegration analysis of petroleum futures prices
DOI: 10.1016/0140-9883(94)90002-7
关键词: Autoregressive model 、 Econometrics 、 Futures contract 、 Econometric model 、 Economics 、 Petroleum 、 Fuel oil 、 Multivariate statistics 、 Cointegration 、 Heating oil
摘要: Abstract This paper presents evidence concerning the number of common stochastic trends in a system 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 multivariate vector autoregressive models is used. The results indicate presence only one trend.
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