Geyer‐Klingeberg, Jerome; Rathgeber, Andreas W. - In: Journal of Futures Markets 41 (2021) 5, pp. 736-757
Using autoregressive distributed lag modeling and structural break testing, we explore the drivers of the oil price spread between West Texas Intermediate and Brent in a data set from 1995 to 2019. We find a major structural break in December 2010 and minor breaks in 2005 and 2012. Important...