文章基本信息

标题：A Co-Integration Analysis of the Interdependencies between Crude Oil and Distillate Fuel Prices
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作者：Jane Aduda ; Patrick Weke ; Philip Ngare 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2018
卷号：08
期号：02
页码：478-496
DOI：10.4236/jmf.2018.82030
语种：English
出版社：Scientific Research Publishing
摘要：The co-evolution and co-movement of financial time series are of utmost importance in contemporary finance, especially when considering the joint behaviour of asset price realizations. The ability to model interdependencies and volatility spill-over effects introduces interesting dimensions in finance. This paper explores co-integrating relationships between crude oil and distillate fuel prices. Existence of multivariate co-integrating relations and bidirectional Granger-Causality is established among the series. It is also established that even after fitting a full VECM, the residuals are not necessarily multivariate normal suggesting the noise could as well be multivariate GARCH.
关键词：Co-Integration;Futures and Spot Prices;Granger-Causality;ECM;VECM;Volatility Spill-Over;Johansen’s Test;Engle-Granger Test