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Long memory in energy futures markets: Further evidence

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  • Wang, Yudong
  • Wu, Chongfeng
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    Abstract

    This paper investigates long memory (or long-range dependence) in price returns and volatilities of energy futures contracts with different maturities. Based on a modified rescaled range analysis and three local Whittle methods, the results from rolling sample test suggest that the returns showed little or no long-range dependence over time but the volatilities displayed significant time-varying long-range dependence. Our evidence shows that some extreme events could cause long memory in returns and volatilities, leading to market inefficiency. Employing multiscale analysis, we find that the returns displayed no long-range dependence for any of the chosen time scales. Significant long-range dependence only existed in volatilities for daily time scales but not for monthly or yearly time scales.

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    Bibliographic Info

    Article provided by Elsevier in its journal Resources Policy.

    Volume (Year): 37 (2012)
    Issue (Month): 3 ()
    Pages: 261-272

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    Handle: RePEc:eee:jrpoli:v:37:y:2012:i:3:p:261-272

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    Web page: http://www.elsevier.com/locate/inca/30467

    Related research

    Keywords: Energy futures markets; Long memory; Rolling sample test; Extreme events; Multiscale analysis;

    References

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    Cited by:
    1. Zhang, Bing, 2013. "Are the crude oil markets becoming more efficient over time? New evidence from a generalized spectral test," Energy Economics, Elsevier, vol. 40(C), pages 875-881.
    2. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.

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