Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

This study estimated a wide range of stochastic process models using the frameworks of CKLS (1992) and Nowman and Wang (2001). For empirical analysis, the GMM estimation procedure is adopted for the monthly WTI, Brent, Dubai, imported crude oil prices and domestic kerosine prices from January 1996 to January 2005. Based on the estimated results, this study performed the tests for goodness-of-fit test and overidentifying restrictions. In addition, the Wald test is used to examine whether there are differences between the parameters of different petroleum prices. According to the empirical results, different stochastic models show very distinct characteristics of price dynamics. Also, different petroleum prices possess different features of price movements. Especially, one can identify a noticeable difference between international crude oil prices and domestic petroleum product price in terms of price dynamics.