Munich Personal RePEc Archive

Unit root behavior in energy futures prices

Serletis, Apostolos (1992): Unit root behavior in energy futures prices. Published in: The Energy Journal , Vol. 13, No. 2 (1992): pp. 119-128.

[img]
Preview
PDF
MPRA_paper_1744.pdf

Download (434kB) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.