Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time

Olaoluwa Yaya, Luis Gil-Alana and Hector Carcel

Energy Economics, 2015, vol. 52, issue PA, 240-245

Abstract: Studying variations of natural gas prices in relation to consumer prices may give us better indicators for the analysis of economic activity. This paper deals with the analysis of natural gas spot prices using fractional integration techniques in the context of non-linear deterministic trends. We find nonstationarity with mean reverting coefficients (i.e., orders of integration in the range (0.5, 1)) in the daily and monthly series, as well as in their logarithmic transformations. Evidences of non-linearities are only obtained in the monthly series which may be a consequence of the higher degree of volatility associated with this frequency.

Keywords: Fractional integration; Chebyshev polynomial; Natural gas; Non-linearity (search for similar items in EconPapers)
JEL-codes: C22 L95 N70 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:52:y:2015:i:pa:p:240-245

DOI: 10.1016/j.eneco.2015.10.011

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