Unit root behavior in energy futures prices
AbstractThis paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1744.
Date of creation: 1992
Date of revision:
Publication status: Published in The Energy Journal 2.13(1992): pp. 119-128
Futures; Energy; Unit Roots;
Other versions of this item:
- P28 - Economic Systems - - Socialist Systems and Transition Economies - - - Natural Resources; Environment
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- 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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