A co-integration analysis of the interdependencies between crude oil and distillate fuel prices
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Date
2018Author
Aduda, Jane
Weke, Patrick
Ngare, Philip
Type
ArticleLanguage
enMetadata
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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.
URI
http://www.scirp.org/journal/PaperInformation.aspx?paperID=85004http://hdl.handle.net/11295/103484
Citation
Aduda, Jane, Patrick Weke, and Philip Ngare. "A Co-Integration Analysis of the Interdependencies between Crude Oil and Distillate Fuel Prices." Journal of Mathematical Finance 8.02 (2018): 478.Publisher
University of Nairobi
Rights
Attribution-NonCommercial-NoDerivs 3.0 United StatesUsage Rights
http://creativecommons.org/licenses/by-nc-nd/3.0/us/Collections
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