The North American Natural Gas Liquids Markets are Chaotic
AbstractIn this paper we test for deterministic chaos(i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12 -- the markets are those of ethane, propane, normal butane, iso-butane, naphta, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant and McCaffrey (1992). We conclude that there is evidence consistent with chaotic nonlinear generation process in all five natural gas liquids markets.
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Bibliographic InfoPaper provided by Calgary - Department of Economics in its series Papers with number 98-10.
Length: 16 pages
Date of creation: 1998
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PRICES ; STATISTICAL ANALYSIS ; FINANCIAL MARKET ; ENERGY;
Other versions of this item:
- Apostolos Serletis & Periklis Gogas, 1999. "The North American Natural Gas Liquids Markets are Chaotic," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 83-103.
- Serletis, Apostolos & Gogas, Periklis, 1999. "The North American natural gas liquids markets are chaotic," MPRA Paper 1576, University Library of Munich, Germany.
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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