کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9550663 | 1372360 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling and forecasting cointegrated relationships among heavy oil and product prices
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994-2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we use the ECM specification to predict crude oil prices over the horizon January 2002-June 2002. Finally we compare the forecasting performance of ECM with a naïve model in first differences which does not exploit any cointegrating relation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 27, Issue 6, November 2005, Pages 831-848
Journal: Energy Economics - Volume 27, Issue 6, November 2005, Pages 831-848
نویسندگان
Alessandro Lanza, Matteo Manera, Massimo Giovannini,