Long memory and fractional cointegration relationship between physical and financial oil markets
Year of publication: |
2016
|
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Authors: | Ghorbel, Achraf ; Souissi, Nessim |
Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 2.2016, 2, p. 133-151
|
Subject: | spot-future oil volatility | long memory | persistence | fractional cointegration | mean reverting | narrow band least square | NBLS | Geweke and Porter-Hudak | GPH | local Whittle | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Volatilität | Volatility | Ölmarkt | Oil market | Theorie | Theory |
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