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, naptha, 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 a chaotic nonlinear generation process in all five natural gas liquids markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1576.
Date of creation: 1999
Date of revision:
Publication status: Published in The Energy Journal 1.20(1999): pp. 83-103
Chaos; Natural Gas; Lyapunov exponent;
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, International Association for Energy Economics, vol. 0(Number 1), pages 83-103.
- Serletis, A. & Gogas, P., 1998. "The North American Natural Gas Liquids Markets are Chaotic," Papers, Calgary - Department of Economics 98-10, Calgary - Department of Economics.
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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