Unit Root Behavior in Energy Futures Prices
Apostolos Serletis
The Energy Journal, 1992, vol. Volume 13, issue Number 2, 119-128
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.
JEL-codes: F0 (search for similar items in EconPapers)
Date: 1992
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Related works:
Chapter: Unit Root Behavior in Energy Futures Prices (2007)
Journal Article: Unit Root Behavior in Energy Futures Prices* (1992)
Working Paper: Unit root behavior in energy futures prices (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:1992v13-02-a06
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