Joëts, Marc; Candelon, Bertrand; Tokpavi, Sessi - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
. Asymptotic as well as finite sample properties are delivered. Applying this test for 32 crude oil markets, it turns out that … extreme price movements are governed by non-OPEC crude oil markets rather than OPEC ones. More precisely, WTI and Brent crude … price falls (resp. rises). Moreover, the integration process between crude oil markets seems to decrease during extreme …