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Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time

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  • Yaya, OlaOluwa Simon
  • Gil-Alana, Luis Alberiko
  • Carcel, Hector

Abstract

Studying variations of natural gas prices in relation to consumer prices may give us better indicators for the analysis of economic activity. This paper deals with the analysis of natural gas spot prices using fractional integration techniques in the context of non-linear deterministic trends. We find nonstationarity with mean reverting coefficients (i.e., orders of integration in the range (0.5, 1)) in the daily and monthly series, as well as in their logarithmic transformations. Evidences of non-linearities are only obtained in the monthly series which may be a consequence of the higher degree of volatility associated with this frequency.

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  • Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
    • Handle: RePEc:eee:eneeco:v:52:y:2015:i:pa:p:240-245
    DOI: 10.1016/j.eneco.2015.10.011
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    More about this item

    Keywords

    Fractional integration; Chebyshev polynomial; Natural gas; Non-linearity;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • L95 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Gas Utilities; Pipelines; Water Utilities
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative

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