Long memory in energy futures prices

John Elder and Apostolos Serletis

Review of Financial Economics, 2008, vol. 17, issue 2, 146-155

Abstract: This paper extends the work in Serletis [Serletis, A. (1992). Unit root behavior in energy futures prices. The Energy Journal 13, 119–128] by re‐examining the empirical evidence for random walk type behavior in energy futures prices. It tests for fractional integrating dynamics in energy futures markets utilizing more recent data (from January 3, 1994 to June 30, 2005) and a new semi‐parametric wavelet‐based estimator, which is superior to the more prevalent GPH estimator (on the basis of Monte‐Carlo evidence). We find new evidence that energy prices display long memory and that the particular form of long memory is anti‐persistence, characterized by the variance of each series being dominated by high frequency (low wavelet scale) components.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1016/j.rfe.2006.10.002

Related works:
Journal Article: Long memory in energy futures prices (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:17:y:2008:i:2:p:146-155

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().