Author:
Floros Christos,Galyfianakis Georgios
Abstract
This paper considers a long dataset of both Brent and West Texas Intermediate (WTI) crude oil prices and the Commodity (fuel) energy index (CEI) to identify possible bubbles. Using the Supremum Augmented Dickey–Fuller (SADF) test, we compare results from WTI and Brent with CEI. We prove that the CEI follows Brent crude oil (they provide similar bubble periods) and that Brent is recognized as a crude oil benchmark. Financial managers should incorporate it into their analysis and forecasts. The findings are strongly recommended to energy policymakers and investors.
Subject
Energy (miscellaneous),Energy Engineering and Power Technology,Renewable Energy, Sustainability and the Environment,Electrical and Electronic Engineering,Control and Optimization,Engineering (miscellaneous)
Cited by
15 articles.
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