 Time-varying long range dependence in energy futures marketsAhmet Sensoy and Erk Hacihasanoglu Energy Economics, 2014, vol. 46, issue C, 318-327 Abstract: This study aims to investigate the presence of long-range dependence in energy futures markets. Using a daily dataset covering from 1990 to 2013 (which includes crucial events for energy markets such as invasion of Iraq and global financial crisis of 2008), we estimate time-varying generalized Hurst exponents of several energy futures contracts with different times to maturity using a rolling window approach. Results reveal that efficiency of energy futures markets is clearly time-varying and changes drastically over the sample period. For futures contracts with 1–4months to maturities, crude oil and gasoline are found to be more efficient compared to others. On the other hand, for contracts with 5–9months to maturities, crude oil and natural gas futures are more efficient. For almost every different month to maturity, heating oil and gas oil futures are found to be the least efficient markets. Moreover in general, the efficiency of energy futures markets is found to be decreasing dramatically when time to maturity is increasing. Several implications are discussed. Keywords: Energy markets; Futures markets; Market efficiency; Generalized Hurst exponent (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:46:y:2014:i:c:p:318-327 DOI: 10.1016/j.eneco.2014.09.023 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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