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The North American natural gas liquids markets are chaotic

Serletis, Apostolos and Gogas, Periklis (1999): The North American natural gas liquids markets are chaotic. Published in: The Energy Journal , Vol. 20, No. 1 (1999): pp. 83-103.

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Abstract

In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant, and McCaffrey (1992). We conclude that there is evidence consistent with a chaotic nonlinear generation process in all five natural gas liquids markets.

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