In previous studies, the cointegration relationships between crude oil spot and futures prices are confirmed based on Johansen (1988) test and vector error correction model (VECM). These conventional methods assume that the process of long-run equilibrium adjustment is linear. This paper...

The causality relationships between energy prices and exchange rates have been investigated in many existing studies. Previous investigations ignore the possible nonlinear behaviors which may be caused by asymmetry, persistence or structural breaks. To fill this gap, we apply both linear and...

In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named detrended moving average (MF-DMA). We find that the auto-correlations display multiscaling behaviors and are dominated by the anti-persistence (mean-reversion) in the long-term....

This paper investigates the issue whether GARCH-type models can well capture the long memory widely existed in the volatility of WTI crude oil returns. In this frame, we model the volatility of spot and futures returns employing several GARCH-class models. Then, using two non-parametric methods,...