The North American Natural Gas Liquids Markets are Chaotic

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The North American Natural Gas Liquids Markets are Chaotic

Author Info

Serletis, A.
Gogas, P.

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Abstract

In 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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Paper provided by Calgary - Department of Economics in its series Papers with number 98-10.

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Length: 16 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:calgar:98-10

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Article
- Apostolos Serletis & Periklis Gogas, 1999. "The North American Natural Gas Liquids Markets are Chaotic," The Energy Journal, International Association for Energy Economics, vol. 20(1), pages 83-104.
Paper
- Apostolos Serletis & Periklis Gogas, 1998. "The North American Natural Gas Liquids Markets are Chaotic," Working Papers 1998-10, Department of Economics, University of Calgary, revised 01 Sep 1998.
- Serletis, Apostolos & Gogas, Periklis, 1999. "The North American natural gas liquids markets are chaotic," MPRA Paper 1576, University Library of Munich, Germany. [Downloadable!]

Find related papers by JEL classification:
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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