英文标题：
《Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline
  asymmetry on the international markets》
---
作者：
Ladislav Kristoufek and Petra Lunackova
---
最新提交年份：
2014
---
英文摘要：
  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 return to their equilibrium value much more slowly than would be typical for the error-correction model. Such dynamics is usually referred to as \"the Joseph effect\". The standard procedure is shown to be troublesome and we introduce three new tests to investigate possible asymmetry in the price adjustment to equilibrium under these complicated time series characteristics. On the dataset of seven national gasoline prices, we report that apart from Belgium, there is no asymmetry found. The proposed methodology is not limited to the gasoline and crude oil case but it can be utilized for any asymmetric adjustment to equilibrium analysis.
---
中文摘要：
我们在分数积分、长期记忆和临界（非）平稳性的新框架下重新研究了零售汽油和原油价格之间的“火箭和羽毛”效应。对最常用的误差修正模型进行了详细研究，我们发现价格恢复到均衡值的速度要比误差修正模型的速度慢得多。这种动态通常被称为“约瑟夫效应”。标准程序被证明是麻烦的，我们引入了三个新的测试，以调查在这些复杂的时间序列特征下，均衡价格调整中可能存在的不对称性。在七个国家的汽油价格数据集上，我们报告说，除了比利时，没有发现不对称。所提出的方法不仅限于汽油和原油的情况，而且可以用于平衡分析的任何不对称调整。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->