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Given the tremendous volatility of commodity prices, models used to test the efficiency of futures markets often contain unstable parameter estimates. This instability may cause the results of hypothesis tests to become sensitive to the sample period. As a result, tests based on constant parameter s...
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The net oil price increase is one of the most popular models used to study the relationship between changes in the price of oil and macroeconomic activity. The model postulates that an increase in the price of oil has negative consequences for the economy if the new price exceeds the maximum price o...
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It is well known that parameter estimates obtained from ordinary least squares can be distorted by outliers. Given the dramatic fluctuations observed in the price of crude oil, it is surprising that the robustness of parameter estimates has not been scrutinized more closely. This article investigate...
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Both the Theory of Storage and the Hotelling model play a prominent role in the study of non-renewable resource prices. This paper combines these approaches by modifying the Hotelling model to allow firms to hold inventory in addition to in-ground reserves, contributing three new results. First, inv...