Long memory in energy futures markets: Further evidence

Yudong Wang and Chongfeng Wu

Resources Policy, 2012, vol. 37, issue 3, 261-272

Abstract: This paper investigates long memory (or long-range dependence) in price returns and volatilities of energy futures contracts with different maturities. Based on a modified rescaled range analysis and three local Whittle methods, the results from rolling sample test suggest that the returns showed little or no long-range dependence over time but the volatilities displayed significant time-varying long-range dependence. Our evidence shows that some extreme events could cause long memory in returns and volatilities, leading to market inefficiency. Employing multiscale analysis, we find that the returns displayed no long-range dependence for any of the chosen time scales. Significant long-range dependence only existed in volatilities for daily time scales but not for monthly or yearly time scales.

Keywords: Energy futures markets; Long memory; Rolling sample test; Extreme events; Multiscale analysis (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:37:y:2012:i:3:p:261-272

DOI: 10.1016/j.resourpol.2012.05.002

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