Serletis, Apostolos (1992): Unit root behavior in energy futures prices. Published in: The Energy Journal , Vol. 13, No. 2 (1992): pp. 119-128.
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This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.
|Item Type:||MPRA Paper|
|Original Title:||Unit root behavior in energy futures prices|
|Keywords:||Futures; Energy; Unit Roots|
|Subjects:||P - Economic Systems > P2 - Socialist Systems and Transitional Economies > P28 - Natural Resources; Energy; Environment
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Apostolos Serletis|
|Date Deposited:||11. Feb 2007|
|Last Modified:||08. Jan 2014 18:34|
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