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The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behavior, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration...
In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994–2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we...
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