Corrigendum: The impact of WTI futures on Shanghai crude futures: identifying spillover effects on crude oil prices using the multiplicative error model

doi:10.1108/JES-11-2025-0939

It has come to the attention of the publisher that article by Forgione, A.F., Migliardo, C., Otranto, E., Scaffidi Domianello, L. (2025), “The impact of WTI futures on Shanghai crude futures: identifying spillover effects on crude oil prices using the multiplicative error model”, Journal of Economic Studies, Vol. 52 No. 9, pp. 215-233, https://doi.org/10.1108/JES-02-2025-0132, contains errors in the set of equations in the final PDF.

The corrected equations are:

Equation 1

\begin{array}{c} x_{t} = μ_{t} ϵ_{t}, ϵ_{t} \sim Gamma (a, 1 / a) \forall t \\ μ_{t} = ω + α x_{t - 1} + β μ_{t - 1} \end{array}

Equation 2

x_{t} = μ_{t} ε_{t}, ε_{t} \sim Gamma (a, 1 / a) \forall t

μ_{t} = ζ_{t} + ξ_{t}

ζ_{t} = ω + α x_{t - 1} + β ζ_{t - 1}

ξ_{t} = δ z_{t - 1}

Equation 4

x_{t} = μ_{t} ε_{t}, ε_{t} \sim Gamma (a, 1 / a) \forall t

μ_{t} = ζ_{t} + ξ_{t} + η_{t}

ζ_{t} = ω + α x_{t - 1} + β ζ_{t - 1}

ξ_{t} = δ z_{t - 1}

η_{t} = γ r_{t - 1}

Equation 5

x_{i, t} = μ_{i, t} ε_{i, t}

ε_{i, t} \sim Gamma (a, \frac{1}{a}) \forall i = 1, \dots, N_{t} and t = 1, \dots, T

μ_{i, t} = ζ_{i, t} + ξ_{i, t} + τ_{t}

ζ_{i, t} = ω + α x_{i - 1, t} + β ζ_{i - 1, t}

ξ_{i, t} = δ z_{i - 1, t}

τ_{t} = θ \sum_{k = 1}^{K} φ_{k} (λ_{1}, λ_{2}) x_{t - k}

φ_{k} (λ_{1}, λ_{2}) = \frac{[{(\frac{k}{K})}^{λ_{1} - 1} {(1 - \frac{k}{K})}^{λ_{2} - 1}]}{[\sum_{j = 1}^{K} {(\frac{j}{K})}^{λ_{1} - 1} {(1 - \frac{j}{K})}^{λ_{2} - 1}]}

Equation 6

x_{t} = μ_{t, s_{t}} ε_{t, s_{t}}, ε_{t, s_{t}} \sim Gamma (a_{s_{t}}, \frac{1}{a_{s_{t}}}) \forall t

μ_{t, s_{t}} = ξ_{s_{t}} + ζ_{t}

ξ_{t, s_{t}} = δ_{s_{t}} z_{t - 1}

ζ_{t} = ω + α x_{t - 1} + β ζ_{t - 1}

Equation 8

x_{t} = \sqrt{\frac{π}{8}} \times (\ln P_{t}^{h} - \ln P_{t}^{l})

where $\sqrt{\frac{π}{8}}$ ⁠.

The publisher asks that affiliation be entered correctly at submission and confirmed at article proofing stage.

2025

Emerald Publishing Limited

Corrigendum: The impact of WTI futures on Shanghai crude futures: identifying spillover effects on crude oil prices using the multiplicative error model

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Equation 1

Equation 2

Equation 4

Equation 5

Equation 6

Equation 8

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Corrigendum: The impact of WTI futures on Shanghai crude futures: identifying spillover effects on crude oil prices using the multiplicative error model

See also

corrigendum

Equation 1

Equation 2

Equation 4

Equation 5

Equation 6

Equation 8

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