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- W2600261771 abstract "Since Engle and Granger formulated the concept of in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It is demonstrated that the primary cause of the cointegration paradox is the model misspecifications resulting in omitted variable bias." @default.
- W2600261771 created "2017-04-07" @default.
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- W2600261771 date "2016-08-01" @default.
- W2600261771 modified "2023-09-24" @default.
- W2600261771 title "Market Efficiency, Arbitrage and the NYMEX Crude Oil Futures Market" @default.
- W2600261771 hasPublicationYear "2016" @default.
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