EconPapers    
Economics at your fingertips  
 

Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?

William Barnett () and Hajar Aghababa
Additional contact information
Hajar Aghababa: Department of Economics, The University of Kansas;

No 201602, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: This paper assess nonlinear structures in the time series data generating mechanism of crude oil prices. We apply well-known univariate tests for nonlinearity, with distinct power functions over alternatives, but with different null hypotheses reflecting the existence of different concepts of linearity and nonlinearity in the time series literature. We utilize daily data on crude oil spot prices for over 26 years, as well as monthly data on crude oil spot prices for 41 years. Investigating the monthly price process of crude oil distinguishes this paper from existing studies of the time series structure of energy markets. All the tests detect strong evidence of general nonlinear serial dependence, as well as nonlinearity in the mean, variance, and skewness functions in the daily spot price process of crude oil. Since evidence of nonlinear dependence is less dramatic in monthly observations, nonlinear serial dependence is moderated by time aggregation in crude oil prices.

Keywords: Nonlinearity; energy market; time series analysis; crude oil prices (search for similar items in EconPapers)
JEL-codes: C22 Q43 C46 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2016-08, Revised 2016-08
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www2.ku.edu/~kuwpaper/2016Papers/201602.pdf (application/pdf)

Related works:
Journal Article: Dynamic structure of the spot price of crude oil: does time aggregation matter? (2016) Downloads
Working Paper: Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter? (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:kan:wpaper:201602

Access Statistics for this paper

More papers in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics Contact information at EDIRC.
Series data maintained by Jianbo Zhang ().

 
Page updated 2017-05-22
Handle: RePEc:kan:wpaper:201602