 Dynamic structure of the spot price of crude oil: does time aggregation matter?Hajar Aghababa and William Barnett Energy Economics, 2016, vol. 59, issue C, 227-237 Abstract: This paper assesses 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 price for over 26years, as well as monthly data on crude oil spot price for 41years. Investigating the monthly price of crude oil along with the daily price distinguishes the approach of this paper from existing studies focusing on the time series structure of crude oil price. 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 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 but not significantly. Keywords: Nonlinearity; Energy market; Time series analysis; Crude oil prices (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:59:y:2016:i:c:p:227-237 DOI: 10.1016/j.eneco.2016.07.023 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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