کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8079183 | 1521487 | 2013 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Persistence in crude oil spot and futures prices
ترجمه فارسی عنوان
پایداری در قیمت نفت خام و قیمت های آینده
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
This study investigates the degree of persistence in monthly Brent crude oil spot and futures prices (at one, two and three months to maturity). The main finding from the full sample shows that Brent crude oil spot, one, two and three months to maturity futures prices are characterized by a high degree of persistence without structural breaks. However, these prices are not highly persistent when structural breaks are taken into consideration. The analysis is repeated for four sub-periods delineated by the endogenously determined break points. The results obtained from the sub-period analysis indicate that oil price series are typically very persistent which is consistent with the efficient market hypothesis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy - Volume 59, 15 September 2013, Pages 29-37
Journal: Energy - Volume 59, 15 September 2013, Pages 29-37
نویسندگان
Zeynel Abidin Ozdemir, Korhan Gokmenoglu, Cagdas Ekinci,