Persistence in some energy futures markets

Juncal Cuñado (), Luis A. Gil‐Alana and Fernando Pérez de Gracia ()
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

Journal of Futures Markets, 2010, vol. 30, issue 5, 490-507

Abstract: In this study, we examine the possibility of long‐range dependence in some energy futures markets for different maturities. In order to test for persistence, we use a variety of techniques based on non‐parametric, semi‐parametric and parametric methods. The results indicate that there is little or no evidence of long memory in gasoline, propane, oil and heating oil at different maturities. However, when we focus on the volatility process, proxied by the absolute returns, we find strong evidence of long memory in all the variables at different contracts. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:490–507, 2010

Date: 2010
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