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Are retail prices of ethanol, gasoline and natural gas in the midwest cointegrated? An asymmetric threshold cointegration analysis

Journal of Economics and Business, 2015
Abstract This paper examines whether there is a long run equilibrium relationship, and the short run dynamic adjustment of such a relationship between the retail prices of selected transportation fuels in the Midwest. The study uses monthly data for the period October 2006 to December 2013. The analysis involves the nonlinear Threshold Autoregressive
openaire +1 more source

European rapeseed and fossil diesel: threshold cointegration analysis and possible implications

2011
In this paper we analyze the long-run relationships between Rapeseed prices at Euronext Paris and the conventional NYMEX diesel prices during the period 2005 to 2010. For the European operators of biofuels plants there are not many hedge vehicles available to hedge their input and output factors.
Ziegelback, Martin, Kastner, Gregor
openaire +3 more sources

Time-varying threshold cointegration with an application to the Fisher hypothesis

Studies in Nonlinear Dynamics and Econometrics, 2022
Lixiong Yang
exaly

Dynamics of capital account and current account in India: Evidence from threshold cointegration with asymmetric error correction

Applied Economics Letters, 2023
Lingaraj Mallick +2 more
exaly

Testing for cointegration with threshold adjustment in the presence of structural breaks

Studies in Nonlinear Dynamics and Econometrics, 2020
Karsten Schweikert
exaly

A New Class of Bivariate Threshold Cointegration Models

Journal of Business and Economic Statistics, 2017
Jití Gao, Dag Tjøstheim
exaly

Threshold cointegration and the short-run dynamics of twin deficit behaviour

Research in Economics, 2011
Mark J Holmes
exaly

Re-evaluating the energy consumption-economic growth nexus for the United States: An asymmetric threshold cointegration analysis

Energy, 2018
Stavros A Kourtzidis, Nickolaos G Tzeremes +1 more
exaly