Causality-in-variance of prices of oil products

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dc.contributor.author Ben Sita, Bernard
dc.contributor.author Abosedra, Salah
dc.date.accessioned 2016-12-15T09:26:41Z
dc.date.available 2016-12-15T09:26:41Z
dc.date.copyright 2013 en_US
dc.date.issued 2016-12-15
dc.identifier.issn 1753-0229 en_US
dc.identifier.uri http://hdl.handle.net/10725/4949 en_US
dc.description.abstract This paper investigates causality-in-variance between the price of crude oil and the prices of refined oil products using US data. The cross-correlation function is applied on both normal and abnormal squared standardized residuals. We found that causality-in-variance has a lead from crude price to gasoline prices for not more than 2 days, and has a lag from gasoline to crude of not more than 2 days. In addition to the daily causality pattern, the monthly causality pattern reveals that the lead-in-variance causation from crude price to refined products' prices and the lag-in-variance causation from refined products' prices to crude prices persist longer with abnormal squared shocks. These patterns suggest that market participants can advantageously adjust their positions within and across these markets. en_US
dc.language.iso en en_US
dc.title Causality-in-variance of prices of oil products en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal OPEC energy review en_US
dc.journal.volume 37 en_US
dc.journal.issue 4 en_US
dc.article.pages 373-386 en_US
dc.identifier.doi http://dx.doi.org/10.1111/opec.12009 en_US
dc.identifier.ctation Ben Sita, B., & Abosedra, S. (2013). Causality‐in‐variance of prices of oil products. OPEC Energy Review, 37(4), 373-386. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://onlinelibrary.wiley.com/doi/10.1111/opec.12009/full en_US
dc.author.affiliation Lebanese American University en_US

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