futures prices of gasoline and the spot prices of two major types of crude oil (i.e. WTI and Brent). The existence of … cointegration between prices in adjacent markets, crude oil spot and gasoline spot as well as gasoline spot and gasoline futures … cointegration in the chain of crude oil spot, gasoline spot, and gasoline futures markets. Among other results, we observe a bi …

The motivation for this paper began with casual empiricisms regarding the brief distributed lag of retail gasoline … consistent and efficient estimator of the actual gasoline prices over most of our sample period. However, random shocks to … gasoline prices, like Hurricane Ike in 2008, cause the model to have problems accurately predicting gas prices. We conclude …