create a website

Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar .
In: MPRA Paper.
RePEc:pra:mprapa:73240.

Full description at Econpapers || Download paper

Cited: 8

Citations received by this document

Cites: 37

References cited by this document

Cocites: 29

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The impact of geopolitical risk on strategic emerging minerals prices: Evidence from MODWT-based Granger causality test. (2024). Zhang, Hua ; Cao, Saisha ; Shao, Liuguo.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723010991.

    Full description at Econpapers || Download paper

  2. Natural resources commodity prices volatility: Evidence from COVID-19 for the US economy. (2022). Zhou, Yang ; Wang, Xiaoxiao ; Dong, Rebecca Kechen ; Pu, Ruihui ; Yue, Xiao-Guang.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003403.

    Full description at Econpapers || Download paper

  3. Oil price volatility in the context of Covid-19. (2021). Rozin, Philippe ; Jawadi, Fredj ; Bourghelle, David.
    In: Post-Print.
    RePEc:hal:journl:hal-04412020.

    Full description at Econpapers || Download paper

  4. Oil price volatility in the context of Covid-19. (2021). Rozin, Philippe ; Jawadi, Fredj ; Bourghelle, David.
    In: International Economics.
    RePEc:eee:inteco:v:167:y:2021:i:c:p:39-49.

    Full description at Econpapers || Download paper

  5. A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

    Full description at Econpapers || Download paper

  6. The zero lower bound and market spillovers: Evidence from the G7 and Norway. (2018). Serletis, Apostolos ; Kyritsis, Evangelos .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:100-123.

    Full description at Econpapers || Download paper

  7. The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway. (2017). Serletis, Apostolos ; Kyritsis, Evangelos.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2017_007.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aghababa, H. (2012). Nonlinear Analysis and Dynamic Structure in the Energy Market. Ph.D. Dissertation, University of Kansas.
    Paper not yet in RePEc: Add citation now
  2. Ashley, R. A., & Patterson, D. M. (1989). Linear Versus Nonlinear Macroeconomics: A Statistical Test. International Economic Review, 30(3), 685-704.

  3. Ashley, R. A., & Patterson, D. M. (2006). Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output. Journal of Business and Economic Statistics, 24(3), 266-277.

  4. Barnett, W. A., & Binner, J. M. (2004). Functional Structure and Approximation in Econometrics (Contributions to Economic Analysis). Amsterdam: Elsevier.
    Paper not yet in RePEc: Add citation now
  5. Barnett, W. A., & Hinich, M. J. (1993). Has Chaos been Discovered with Economic Data. In P. Chen, & R. H. Day, Evolutionary Dynamics and Nonlinear Economics (Vol. 261, pp. 254-263). Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now
  6. Barnett, W. A., Gallant, A. R., Hinich, M. J., Jungeilges, J. A., Kaplan, D. T., & Jensen, M. J. (1995, July). Robustness of Nonlinearity and Chaos Tests to Measurement Error, Inference Method, and Sample Size. Journal of Economic Behavior and Organization, 27(2), 301-320.

  7. Barnett, W. A., Gallant, A. R., Hinich, M. J., Jungeilges, J. A., Kaplan, D. T., & Jensen, M. J. (1997). A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos. Journal of Econometrics, 82(1), 157-192.

  8. Barnett, W. A., Jones, B. E., & Nesmith, T. D. (2004). Time Series Cointegration Tests and Nonlinearity. In W. A. Barnett, & J. M. Binner, Functional Structure and Approximation in Econometrics (Contributions to Economic Analysis) (pp. 549-567). Elsevier: Amsterdam.
    Paper not yet in RePEc: Add citation now
  9. Bernanke, B. S., Gertler, M., & Watson, M. (1997). Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Papers on Economic Activity, 28(1), 91-157.

  10. Brock, W. A., Dechert, D. W., LeBaron, B., & Scheinkman, J. (1996). A test for independence based on the correlation dimension. Econometric Reviews, 15(3), 197-235.
    Paper not yet in RePEc: Add citation now
  11. Dickey, D. A., & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1072.

  12. El Hedi, A. M., & Fredj, J. (2010). Short and long-term links between oil prices and stock markets in Europe. Economics Bulletin, 30(1), 817-828.

  13. Energy Information Administration. (2011). What Drives Crude Oil Prices. Washington, DC.
    Paper not yet in RePEc: Add citation now
  14. Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimation of the Variance of United Kingdom Inflation. Econometrica, 50(3), 987-1007.

  15. Hamilton, J. D. (1983, April). Oil and the Macroeconomy Since World War II. Journal of Political Economy, 91(2), 228-248.

  16. Hamilton, J. D. (2003, April). What is an oil shock? Journal of Econometrics, 113(2), 363-398.

  17. Hinich, M. J. (1982). Testing for Gaussianity and Linearity of a Statinary Time Series. Journal of Time Series Analysis, 3(3), 169-176.
    Paper not yet in RePEc: Add citation now
  18. Hinich, M. J., & Patterson, D. M. (1985). Evidence of Nonlinearity in Daily Stock Returns. Journal of Business and Economic Statistics, 3(1), 69-77.

  19. Hinich, M. J., & Patterson, D. M. (1995). Detecting Epochs of Transient Dependence in White. University of Texas at Austin, Unpublished Manuscript.
    Paper not yet in RePEc: Add citation now
  20. Jawadi, F., & Bellalah, M. (2011). Nonlinear mean reversion in oil and stock markets. Review of Accounting and Finance, 10(3), 316-326.

  21. Jawadi, F., El Hedi Arouri, M., & Bellalah, M. (2010). Nonlinear linkages between oil and stock markets in developed and emerging countries. International Journal of Business, 15(1), 19-31.
    Paper not yet in RePEc: Add citation now
  22. Kyrtsou, C., & Serletis, A. (2006, March). Univariate tests for nonlinear structure. Journal of Macroeconomics, 28(1), 154-168.

  23. Kyrtsou, C., Malliaris, A. G., & Serletis, A. (2009, May). Energy sector pricing: On the role of neglected nonlinearity. Energy Economics, 31(3), 492-502.

  24. Maslyuk, S., & Smyth, R. (2008). Unit root properties of crude oil spot and futures prices. Energy Policy, 36(3), 2591--2600.

  25. Maslyuk, S., & Smyth, R. (2009). Non-linear unit root properties of crude oil production. Energy Economics, 31(1), 109-118.

  26. Maslyuk, S., & Smyth, R. (2009). Non-linear unit root properties of crude oil production. Energy Economics, 31(1), 109-118.
    Paper not yet in RePEc: Add citation now
  27. McLeod, A. I., & Li, W. K. (1983). Diagnostic checking ARMA time series models using squared residuals autocorrelations. Journal of Time Series Analysis, 4(4), 293-273.

  28. Patterson, D. M., & Ashley, R. A. (2000). A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence. New York: Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now
  29. Patterson, D. M., & Ashley, R. A. (2000). Analysis of Stock Market Returns. In D. M. Patterson, & R. A. Ashley, A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence (pp. 95-121). New York: Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now
  30. Petroleum Chronology of Events 1970 - 2000. (2002). Washington, DC: Energy Information Administration.
    Paper not yet in RePEc: Add citation now
  31. Phillips, P. C., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
    Paper not yet in RePEc: Add citation now
  32. Rotemberg, J. J., & Woodford, M. (1996, November). Imperfect Competition and the Effects of Energy Price Increases on Economic Activity. Journal of Money, Credit and Banking, 28(2 ), 549-577.

  33. Sajjadur, R., & Serletis, A. (2010). The Asymmetric Effects of Oil Price and Monetary Policy Shocks: A Nonlinear VAR Approach. Energy Economics, 32(6), 1460-1466.

  34. Serletis, A., & Andreadis, I. (2004, May). Random fractal structures in North American energy markets. Energy Economics, 26(3), 389-399.

  35. Sill, K. (2007). The Macroeconomics of Oil Shock. Federal Reserve Bank of Philadelphia Business Review, Q1.
    Paper not yet in RePEc: Add citation now
  36. Tsay, R. S. (1986). Nonlinearity Tests for Time Series. Biometrika, 73(2), 461-466.
    Paper not yet in RePEc: Add citation now
  37. Tsay, R. S. (1986). Nonlinearity Tests for Time Series. Biometrika, 73(2), 461-466.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela.
    In: Papers.
    RePEc:arx:papers:2305.05762.

    Full description at Econpapers || Download paper

  2. Time-varying income and price elasticities for energy demand: Evidence from a middle-income panel. (2020). Smyth, Russell ; liddle, brantley ; Zhang, Xibin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300207.

    Full description at Econpapers || Download paper

  3. .

    Full description at Econpapers || Download paper

  4. Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar .
    In: MPRA Paper.
    RePEc:pra:mprapa:73240.

    Full description at Econpapers || Download paper

  5. Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?. (2016). Barnett, William ; Aghababa, Hajar .
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201602.

    Full description at Econpapers || Download paper

  6. Dynamic structure of the spot price of crude oil: does time aggregation matter?. (2016). Barnett, William ; Aghababa, Hajar .
    In: Energy Economics.
    RePEc:eee:eneeco:v:59:y:2016:i:c:p:227-237.

    Full description at Econpapers || Download paper

  7. Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis. (2013). GUEGAN, Dominique ; Billio, Monica ; Addo, Peter Martey.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:12023r.

    Full description at Econpapers || Download paper

  8. Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur. (2012). De la Torre, Stephanie Rendon .
    In: Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).
    RePEc:ega:rafega:201206.

    Full description at Econpapers || Download paper

  9. Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests. (2009). Lim, Kian-Ping ; Brooks, Robert.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:2:p:147-155.

    Full description at Econpapers || Download paper

  10. Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model. (2007). Valderrama, Diego.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:9:p:2957-2983.

    Full description at Econpapers || Download paper

  11. A New Bispectral Test for Nonlinear Serial Dependence. (2006). Dagum, Estelle ; Ashley, Richard ; Patterson, Douglas M. ; Rusticelli, Elena.
    In: Working Papers.
    RePEc:vpi:wpaper:e06-6.

    Full description at Econpapers || Download paper

  12. How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World. (2006). Briatka, Lubos .
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp308.

    Full description at Econpapers || Download paper

  13. NÃO LINEARIDADE NOS CICLOS DE NEGÓCIOS: MODELO AUTO-REGRESSIVO “SMOOTH TRANSITION” PARA O ÍNDICE GERAL DE PRODUÇÃO INDUSTRIAL BRASILEIRO E BENS DE CAPITAL. (2006). Alves, Denisard ; Denisard Cneio de Oliveira Alves, ; Jo, .
    In: Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting].
    RePEc:anp:en2006:10.

    Full description at Econpapers || Download paper

  14. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997. (2004). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: Finance.
    RePEc:wpa:wuwpfi:0409037.

    Full description at Econpapers || Download paper

  15. Statistical Nonlinearities in the Business Cycle. (2003). Valderrama, Diego.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:219.

    Full description at Econpapers || Download paper

  16. Nonlinear Noise Estimation in International Capital Markets. (2002). Siriopoulos, Costas ; Leontitsis, Alexandros.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:6:y:2002:i:1:p:43-63.

    Full description at Econpapers || Download paper

  17. Nonlinearities in international business cycles. (2002). Valderrama, Diego.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2002-23.

    Full description at Econpapers || Download paper

  18. Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model. (2002). Valderrama, Diego.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2002-13.

    Full description at Econpapers || Download paper

  19. Overfitting and forecasting: linear versus non-linear time series models. (2000). Liu, Yamei.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:2000010108000014914.

    Full description at Econpapers || Download paper

  20. The effects of temporal aggregation on tests of linearity of a time series. (2000). Teles, Paulo ; Wei, William W. S., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:34:y:2000:i:1:p:91-103.

    Full description at Econpapers || Download paper

  21. Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997. (2000). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2000-06.

    Full description at Econpapers || Download paper

  22. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. (1998). Lux, Thomas.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:33:y:1998:i:2:p:143-165.

    Full description at Econpapers || Download paper

  23. Non-linear characteristics of the sterling/European Currency Unit exchange rate: 1984-1992. (1997). David Chappell, Robert M. Eldridge, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:3:y:1997:i:2:p:159-182.

    Full description at Econpapers || Download paper

  24. A single-blind controlled competition among tests for nonlinearity and chaos. (1997). Jensen, Mark ; Hinich, Melvin ; Gallant, A. ; Barnett, William ; Kaplan, Daniel T. ; Jungeilges, Jochen A..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:82:y:1997:i:1:p:157-192.

    Full description at Econpapers || Download paper

  25. A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos. (1996). Jensen, Mark ; Hinich, Melvin ; Gallant, A. ; Barnett, William ; Kaplan, Daniel T. ; Jungeilges, Jochen A..
    In: Econometrics.
    RePEc:wpa:wuwpem:9602005.

    Full description at Econpapers || Download paper

  26. Factor demand models with nonlinear short-run fluctuations. (1996). Pfann, Gerard.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:315-331.

    Full description at Econpapers || Download paper

  27. Testing for Nonlinearities in Economic and Financial Time Series. (1995). Peat, Maurice ; Stevenson, Max .
    In: Working Paper Series.
    RePEc:uts:wpaper:48.

    Full description at Econpapers || Download paper

  28. METHODS IN ECONOMICS: TESTING FOR LINEARITY. (1994). Dufrénot, Gilles ; Laurent, Mathieu .
    In: Journal des Economistes et des Etudes Humaines.
    RePEc:bpj:jeehcn:v:5:y:1994:i:2-3:p:16:n:8.

    Full description at Econpapers || Download paper

  29. Sind Wechselkursfluktuationen zufällig oder chaotisch?. (1990). Kugler, Peter.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:1990-ii-2.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-27 15:36:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy