Westgaard, Sjur; Estenstad, Maria; Seim, Maria; … - In: Energy Economics 33 (2011) 2, pp. 311-320
In this paper, the relationship between Gas oil and Brent Crude oil futures prices is investigated. The analysis is based on daily price series for five different contract lengths traded on ICE Futures Europe. The price series and their first differences are tested for stationarity. Linear...