Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It is demonstrated that the primary cause of the "cointegration paradox" is the model misspecifications resulting in omitted variable bias.
| Identifer | oai:union.ndltd.org:unt.edu/info:ark/67531/metadc862846 |
| Date | 08 1900 |
| Creators | Nishi, Hirofumi |
| Contributors | MacDonald, Don, Conover, James, Tieslau, Margie |
| Publisher | University of North Texas |
| Source Sets | University of North Texas |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | Text |
| Rights | Public, Nishi, Hirofumi, Copyright, Copyright is held by the author, unless otherwise noted. All rights Reserved. |
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