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effect suffer from bias due to measurement error in inventory surprises. We utilize intraday futures data for three petroleum … estimates for petroleum commodities, and about four times as large as OLS estimates for natural gas. These results imply that …
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In this paper, we examine the relationship between crude oil and natural gas prices. Using smooth transition regression modelling approach, we find that both the long-run and short-run relationships between oil and gas prices are more aptly modelled by simultaneous structural breaks and...
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This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
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