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Long Memory in the Oil Market: A Spectral Approach

Author

Listed:
  • Yuri Balagula
  • Yulia Abakumova

Abstract

In the paper, we propose a spectral approach to estimation of the long-memory effect in time series and its practical application for oil prices analysis. (In Russian).

Suggested Citation

  • Yuri Balagula & Yulia Abakumova, 2011. "Long Memory in the Oil Market: A Spectral Approach," EUSP Department of Economics Working Paper Series 2011/01, European University at St. Petersburg, Department of Economics, revised 13 Jan 2011.
    • Handle: RePEc:eus:wpaper:ec2011_01
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    File URL: https://eusp.org/sites/default/files/archive/ec_dep/wp/ec-01_11.pdf
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    More about this item

    Keywords

    econometrics; long memory; oil price;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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