The North American Natural Gas Liquids Markets are Chaotic

Apostolos Serletis and Periklis Gogas

The Energy Journal, 1999, vol. 20, issue 1, 83-103

Abstract: In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas, hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant, and McCaffrey (1992). We conclude that there is evidence, consistent with a chaotic nonlinear generation process in all five natural gas liquids markets.

Keywords: Natural gas liquids prices; statistical analysis; financial markets; GARCH; chaos; Lyapunov exponent (search for similar items in EconPapers)
Date: 1999
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Related works:
Chapter: The North American Natural Gas Liquids Markets are Chaotic (2007)
Journal Article: The North American Natural Gas Liquids Markets are Chaotic (1999)
Working Paper: The North American natural gas liquids markets are chaotic (1999)
Working Paper: The North American Natural Gas Liquids Markets are Chaotic (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:20:y:1999:i:1:p:83-103

DOI: 10.5547/ISSN0195-6574-EJ-Vol20-No1-5

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