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dc.contributor.authorLiu, Yu-Shaozh_CN
dc.contributor.authorChen, Longzh_CN
dc.contributor.authorSu, Chi-Weizh_CN
dc.contributor.author苏志伟zh_CN
dc.date.accessioned2015-07-22T02:06:22Z
dc.date.available2015-07-22T02:06:22Z
dc.date.issued2011zh_CN
dc.identifier.citation2010 INTERNATIONAL CONFERENCE ON ENERGY, ENVIRONMENT AND DEVELOPMENT (ICEED2010), 2011,5:998-1002zh_CN
dc.identifier.otherWOS:000298299400176zh_CN
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/85594
dc.descriptionConference Name:International Conference on Energy, Environment and Development (ICEED). Conference Address: Kuala Lumpur, MALAYSIA. Time:DEC 08-09, 2010.zh_CN
dc.description.abstractThis paper examines between the petroleum futures and spot prices have non-linear equilibrium relationships towards equilibrium using rank tests by Breitung (2001). We then estimate the asymmetric Bivariate TECM GJR-GARCH model to capture the short-run and long-run dynamic adjustments with the asymmetric price and volatility transmissions between the petroleum spot and futures markets. We find the petroleum futures prices are cointegrated and nonlinear with spot prices in the long-run. This effectively confirms the expectations hypothesis. In the mean equations, we find evidence that the spot price adjusts strongly to a positive basis in the short-run, and they will revert to the long-run equilibrium level. In the variance equations, we find that when bad news happens in the petroleum spot and futures markets, volatility will increase in its own market. Besides, asymmetric effects are also found in both the petroleum spot and futures market in our conditional variance models. (C) 2011 Published by Elsevier Ltd. Selection and peer-review under responsibility of RIUDSzh_CN
dc.language.isoen_USzh_CN
dc.publisherENRGY PROCEDzh_CN
dc.source.urihttp://dx.doi.org/10.1016/j.egypro.2011.03.176zh_CN
dc.titleThe Price Correlation between Crude Oil Spot and Futures -Evidence from Rank Testzh_CN
dc.typeConferencezh_CN


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