dc.contributor.author | Aduda, Jane | |
dc.contributor.author | Weke, Patrick | |
dc.contributor.author | Ngare, Philip | |
dc.date.accessioned | 2018-07-24T05:19:14Z | |
dc.date.available | 2018-07-24T05:19:14Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Aduda, Jane, Patrick Weke, and Philip Ngare. "A Co-Integration Analysis of the Interdependencies between Crude Oil and Distillate Fuel Prices." Journal of Mathematical Finance 8.02 (2018): 478. | en_US |
dc.identifier.uri | http://www.scirp.org/journal/PaperInformation.aspx?paperID=85004 | |
dc.identifier.uri | http://hdl.handle.net/11295/103484 | |
dc.description.abstract | The co-evolution and co-movement of financial time series are of utmost importance in contemporary finance, especially when considering the joint behaviour of asset price realizations. The ability to model interdependencies and volatility spill-over effects introduces interesting dimensions in finance. This paper explores co-integrating relationships between crude oil and distillate fuel prices. Existence of multivariate co-integrating relations and bidirectional Granger-Causality is established among the series. It is also established that even after fitting a full VECM, the residuals are not necessarily multivariate normal suggesting the noise could as well be multivariate GARCH. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of Nairobi | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Co-Integration, Futures and Spot Prices, Granger-Causality, ECM, VECM, Volatility Spill-Over, Johansen’s Test, Engle-Granger Test | en_US |
dc.title | A co-integration analysis of the interdependencies between crude oil and distillate fuel prices | en_US |
dc.type | Article | en_US |