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Long memory in energy futures prices

  • Elder, John
  • Serletis, Apostolos

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.

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File URL: http://www.sciencedirect.com/science/article/B6W61-4N7XPFD-1/1/04fc1071bb498a3edb7826683c30cdc9
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Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 17 (2008)
Issue (Month): 2 ()
Pages: 146-155

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Handle: RePEc:eee:revfin:v:17:y:2008:i:2:p:146-155
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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  1. Gary Gorton & K. Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers amz2619, Yale School of Management, revised 01 Mar 2005.
  2. Serletis, Apostolos, 1992. "Unit root behavior in energy futures prices," MPRA Paper 1744, University Library of Munich, Germany.
  3. Serletis, A. & Gogas, P., 1998. "The North American Natural Gas Liquids Markets are Chaotic," Papers 98-10, Calgary - Department of Economics.
  4. William Barnett & Apostolos Serletis & Demitre Serletis, 2005. "Nonlinear and Complex Dynamics in Real Systems," GE, Growth, Math methods 0509002, EconWPA.
  5. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
  6. 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.
  7. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  8. 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.
  9. 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.
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