Unit root properties of crude oil spot and futures prices
نویسندگان
چکیده
منابع مشابه
Unit Root Properties of Crude Oil Spot and Futures Prices
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). W...
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While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit root tests, which assume linear and systematic adjustment, could interpret departure from linearity as ...
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با توجه به تحریم های بین المملی علیه صنعت بیمه ایران امکان استفاده از بازارهای بین المملی بیمه ای برای نفتکش های ایرانی وجود ندارد. از طرفی از آنجایی که یکی از نوآوری های اخیر استفاده از بازارهای مالی به منظور ریسک های فاجعه آمیز می باشد. از اینرو در این پایان نامه سعی شده است با استفاده از این نوآوری ها با طراحی اوراق اختیارات راهی نو جهت بیمه گردن نفت کش های ایرانی ارائه نمود. از آنجایی که بر...
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ژورنال
عنوان ژورنال: Energy Policy
سال: 2008
ISSN: 0301-4215
DOI: 10.1016/j.enpol.2008.03.018