TY  - JOUR
TT  - The Bias in the Long Run Relation between the Prices of BRENTand West Texas Intermediate Crude Oils
AU  - Azar, Samih Antoine
AU  - Salha, Angelic
PY  - 2017
DA  - March
JF  - International Journal of Energy Economics and Policy
JO  - IJEEP
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4553
SP  - 44
EP  - 54
VL  - 7
IS  - 1
KW  - Brent and WTI crude oil spot prices
KW  - cointegration
KW  - error-correction models
KW  - GARCH methods
KW  - bias in the association
KW  - three data frequencies
KW  - oil market integration
N2  - This paper is about the magnitude of association between two crude oils, the UK Brent and the Texan WTI. Practice presumes and theory predicts a unitary and a proportionate association, especially for the log-log specifications. A battery of cointegration tests are conducted to test whether the slopes, or the cointegrating vectors, are statistically significant and are statistically higher than +1. All cointegrating vectors are found to be statistically higher than +1 whatever the sample frequency selected, monthly, weekly, or daily, and whatever the functional forms or the econometric procedures adopted. Subsidiary results are that the samples chosen do not contain calendar structural breaks, and that regionalization of the oil market is strongly denied. These results reject the underlying intuition and theory, and set the stage for a possible financial anomaly
UR  - https://dergipark.org.tr/tr/pub/ijeeep/issue//351149
L1  - https://dergipark.org.tr/tr/download/article-file/361690
ER  -