This study has been done on the closing prices of the nearby WTI futures contracts and their underlying spot prices. After dividing the entire sample period into 5 subsamples using ‘dynamic programming algorithm’ presented in Bai and Perron(2003), I applied Threshold Vector Error Correction Models to each subsample. To analyze investors arbitrage behaviors in different market situations, I defined the state of the market as backwardation or contango by the relationship between futures and spot prices, and made investigations with 3-regime TVECM using basis as a threshold variable.
Keywords：Threshold Vector Error Correction Models, Nonlinearity, Structural Breaks, Regimes, Crude Oil Spot and Futures Prices
학회소식
학회소식
[2011년 제 1차] A study on the nonlinear relationship between WTI c
작성자 : 관리자
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게시일 :
2011-02-23