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employing Fourier unit root tests and a nonparametric rank test for cointegration. Data comprises monthly data on the three …
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This paper replicates the analysis in the paper “What Drives Natural Gas Prices?" by Stephen P.A. Brown and Mine K. Yücel. The replication confirms the results of that analysis: a long-run relationship existed between natural-gas prices and crude-oil prices during the period from June 1997 to...
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a threshold cointegration approach that is in accordance with the law of one price and explicitly accounts for …
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form 1987 to 2012 our analysis is based on an Autoregressive Distributed Lag (ARDL) Bound Cointegration approach to obtain …
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