| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055635 | Economic Modelling | 2011 | 9 Pages |
Abstract
⺠Modelling BRENT crude spot and futures oil prices threshold vector error-correction (TVECM). ⺠Main question: is BRENT crude an integrated oil market in terms of threshold effects and adjustment costs? ⺠To answer this question need to reveal the dynamics of transaction costs from market imperfections. ⺠Main findings: the market follows a gradual integration path; two regimes are identified, a significant threshold exists. ⺠Adjustment costs in the error correction are present at the typical regime.
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Authors
E. Mamatzakis, P. Remoundos,