210
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Do transaction costs prevent arbitrage in the market for crude oil? Evidence from a threshold autoregression

References

  • Alquist, R. and Kilian, L. (2010) What do we learn from the price of crude oil futures?, Journal of Applied Econometrics, 25, 539–73. doi:10.1002/jae.1159
  • Andrews, D. (1993) Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821–56. doi:10.2307/2951764
  • Brennan, M. (1958) The supply of storage, American Economic Review, 48, 50–72.
  • Caner, H. and Hansen, B. (2001) Threshold autoregression with a unit root, Econometrica, 69, 1555–96. doi:10.1111/1468-0262.00257
  • Chernenko, S., Schwarz, K. and Wright, J. (2004) The information content of forward and futures prices, International Finance Discussion Paper No. 808, Federal Reserve Board (FRB), Washington, DC.
  • Chinn, M. and Coiboin, O. (2014) The predictive content of commodity futures, Journal of Futures Markets, 34, 607–36.
  • Davidson, R. and Flachaire, E. (2008) The wild bootstrap, tamed at last, Journal of Econometrics, 146, 162–9. doi:10.1016/j.jeconom.2008.08.003
  • Fama, E. and French, K. (1987) Commodity futures prices: some evidence on forecast power, premiums and the theory of storage, Journal of Business, 60, 55–73. doi:10.1086/296385
  • Fattouh, B. (2010) The dynamics of crude oil price differentials, Energy Economics, 32, 334–42.
  • Huang, B.-N., Yang, C. and Hwang, M. (2009) The dynamics of a non-linear relationship between crude oil spot and futures prices: a multivariate threshold regression approach, Energy Economics, 31, 91–8. doi:10.1016/j.eneco.2008.08.002
  • Kaldor, N. (1939) Speculation and economic stability, The Review of Economic Studies, 7, 1–27. doi:10.2307/2967593
  • Moosa, I. and Al-Loughani, N. (1995) The effectiveness of arbitrage and speculation in the crude oil futures market, Journal of Futures Markets, 15, 167–86. doi:10.1002/fut.3990150205
  • Pindyck, R. (1993) The present value model of rational commodity pricing, The Economic Journal, 103, 511–30. doi:10.2307/2234529
  • Serletis, A. (1991) Rational expectations, risk and efficiency in energy futures market, Energy Economics, 13, 111–15.
  • White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817–38. doi:10.2307/1912934

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.