Causality-in-variance of prices of oil products
This paper investigates causality-in-variance between the price of crude oil and the prices of refined oil products using US data. The cross-correlation function is applied on both normal and abnormal squared standardized residuals. We found that causality-in-variance has a lead from crude price to...
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| Format: | article |
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2013
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| Online Access: | http://hdl.handle.net/10725/4949 http://dx.doi.org/10.1111/opec.12009 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://onlinelibrary.wiley.com/doi/10.1111/opec.12009/full |
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