Zhang, Tao; Ma, Guofeng; Liu, Guangsheng - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 444-456
In this paper, we investigate the relationships between crude oil and refined product prices. We find that nonlinear correlations are stronger in the long-term than in the short-term. Crude oil and product prices are cointegrated and financial crisis in 2007–2008 caused a structural break of...