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Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data

  • Vinod Mishra
  • Russell Smyth

We apply a unit root test that allows for heteroskedasticity and two structural breaks to daily data for natural gas spot and futures prices. In contrast to previous findings, the main result is that natural gas spot and futures prices are mean reverting. More generally, the results emphasize the need to allow for heteroskedasticity when applying unit root tests to energy spot and futures prices with high frequency data, such as daily data.

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File URL: http://www.buseco.monash.edu.au/eco/research/papers/2014/2014unitroofmishrasmyth.pdf
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Paper provided by Monash University, Department of Economics in its series Monash Economics Working Papers with number 20-14.

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Length: 18 pages
Date of creation: Apr 2014
Date of revision:
Handle: RePEc:mos:moswps:2014-20
Contact details of provider: Postal: Department of Economics, Monash University, Victoria 3800, Australia
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Web page: http://www.buseco.monash.edu.au/eco/
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  8. Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Monash Economics Working Papers 40-07, Monash University, Department of Economics.
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  11. Vinod Mishra & Russell Smyth, 2014. "Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks," Monash Economics Working Papers 09-14, Monash University, Department of Economics.
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  15. Paresh Kumar Narayan & Stephan Popp, 2011. "Size and power properties of structural break unit root tests," Financial Econometics Series 2011_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  16. Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
  17. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
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