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Testing for Common Features in North American Energy Markets

In: Quantitative And Empirical Analysis Of Energy Markets

Author

Listed:
  • Apostolos Serletis

    (University of Calgary, Canada)

  • Ricardo Rangel-Ruiz

    (University of Calgary, Canada)

Abstract

The following sections are included:IntroductionCommon Trends and Common CyclesCommon TrendsCommon CyclesCodependent CyclesThe EvidenceCommon Features in Natural Gas MarketsConclusion

Suggested Citation

  • Apostolos Serletis & Ricardo Rangel-Ruiz, 2007. "Testing for Common Features in North American Energy Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770462_0014
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    1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
    2. Apostolos Serletis, 2007. "A Cointegration Analysis of Petroleum Futures Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 5, pages 46-54, World Scientific Publishing Co. Pte. Ltd..
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    5. Apostolos Serletis & Todd Kemp, 2007. "The Cyclical Behavior of Monthly NYMEX Energy Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 12, pages 149-155, World Scientific Publishing Co. Pte. Ltd..
    6. Apostolos Serletis & John Herbert, 2007. "The Message in North American Energy Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 13, pages 156-171, World Scientific Publishing Co. Pte. Ltd..
    7. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    8. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
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    11. Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
    12. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
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    More about this item

    Keywords

    Electricity Markets; Natural Gas Markets; Crude Oil Markets; Forecasting Energy Prices; Energy Markets Volatility; Business Cycles and Energy Prices; Common Features in Energy Markets; Codependent Cycles in Energy Markets; Volatility Modeling in Energy Markets; Chaos; Fractals; and Random Modulations in Energy Markets;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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