Krištoufek, Ladislav; Lunackova, Petra - Institut ekonomických studií, Univerzita Karlova v Praze - 2015
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices...