Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis

By F. Postali, Paulo Picchetti. 2006

177 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d4535b8ed13b51c266c346d849cc85eac1cda592

Citations in the corpus

• Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, unknown): “Postali and Picchetti (2006) apply unit root tests to examine international oil prices. They find that the traditional unit root tests reject the unit root null hypothesis for the entire sample of more than one century of annual data. Silvapulle and Moosa (1999) examine the daily spot and futures pr”
• Crude Oil Prices and COVID-19: Persistence of the Shock (2020, unknown): “…studied the inte- gration order of energy prices (see Berck & Roberts, 1996; Ferreira et al., 2005; Jawadi & Bellalah, 2011; Monge, GilAlana, & de Gracia, 2017; Monge, Gil-Alana, & Pérez de Gracia, 2017; Perron, 1989; Pindyck, 1999; Postali & Picchetti, 2006; Zivot & Andrews, 1992, among others).”