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  • 标题:Unit Root Properties of Crude Oil Spot and Future Prices
  • 本地全文:下载
  • 作者:Svetlana Maslyuk ; Russell Smyth
  • 期刊名称:Discussion Paper Series / Department of Economics, Monash University
  • 出版年度:2007
  • 卷号:1
  • 出版社:Monash University
  • 摘要:In this paper we examine whether WTI and Brent crude oil spot and futures prices (at one, three and six months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991-2004. To realize this objective we employ Lagrange Multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Stazicich (2003, 2004). We find that each of the oil price series can be characterized as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets.
  • 关键词:Crude oil prices, Unit root, Stationarity
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