IDEAS home Printed from https://ideas.repec.org/a/eee/revfin/v17y2008i2p146-155.html
   My bibliography  Save this article

Long memory in energy futures prices

Author

Listed:
  • Elder, John
  • Serletis, Apostolos

Abstract

This paper extends the work in Serletis [Serletis, A. (1992). Unit root behavior in energy futures prices. The Energy Journal 13, 119-128] by re-examining the empirical evidence for random walk type behavior in energy futures prices. It tests for fractional integrating dynamics in energy futures markets utilizing more recent data (from January 3, 1994 to June 30, 2005) and a new semi-parametric wavelet-based estimator, which is superior to the more prevalent GPH estimator (on the basis of Monte-Carlo evidence). We find new evidence that energy prices display long memory and that the particular form of long memory is anti-persistence, characterized by the variance of each series being dominated by high frequency (low wavelet scale) components.

Suggested Citation

  • Elder, John & Serletis, Apostolos, 2008. "Long memory in energy futures prices," Review of Financial Economics, Elsevier, vol. 17(2), pages 146-155.
  • Handle: RePEc:eee:revfin:v:17:y:2008:i:2:p:146-155
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1058-3300(07)00022-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. Apostolos Serletis, 2007. "Unit Root Behavior in Energy Futures Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 1, pages 7-14, World Scientific Publishing Co. Pte. Ltd..
    3. Apostolos Serletis & Periklis Gogas, 2007. "The North American Natural Gas Liquids Markets are Chaotic," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 17, pages 225-244, World Scientific Publishing Co. Pte. Ltd..
    4. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, University Library of Munich, Germany.
    5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    6. William Barnett & Apostolos Serletis & Demitre Serletis, 2005. "Nonlinear and Complex Dynamics in Real Systems," GE, Growth, Math methods 0509002, University Library of Munich, Germany.
    7. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
    8. Peter E. Kennedy & John Elder, 2001. "F versus t tests for unit roots," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-6.
    9. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    10. John Elder & Peter E. Kennedy, 2001. "Testing for Unit Roots: What Should Students Be Taught?," The Journal of Economic Education, Taylor & Francis Journals, vol. 32(2), pages 137-146, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
    2. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    3. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
    4. Michael J. Dueker & Apostolos Serletis, 2000. "Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks," Working Papers 2000-016, Federal Reserve Bank of St. Louis.
    5. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
    6. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para Discussão Cedeplar-UFMG td233, Cedeplar, Universidade Federal de Minas Gerais.
    7. Smallwood Aaron D, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-30, June.
    8. Atiq-ur-Rehman, 2011. "Impact of Model Specification Decisions on Unit Root Tests," International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 22-33, September.
    9. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
    10. Tkacz Greg, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-15, April.
    11. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
    12. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    13. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
    14. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    15. Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany.
    16. Luis Alberiko Gil-Alana, 2005. "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra.
    17. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
    18. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    19. Cem Ertur & Antonio Musolesi, 2017. "Weak and Strong Cross‐Sectional Dependence: A Panel Data Analysis of International Technology Diffusion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 477-503, April.
    20. Steven Cook, 2008. "More uncertainty: on the trending nature of real GDP in the US and UK," Applied Economics Letters, Taylor & Francis Journals, vol. 15(9), pages 667-670.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:revfin:v:17:y:2008:i:2:p:146-155. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620170 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.