The North American Natural Gas Liquids Markets are Chaotic

Apostolos Serletis and Periklis Gogas

Working Papers from Calgary - Department of Economics

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, naphta, 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 chaotic nonlinear generation process in all five natural gas liquids markets.

Keywords: PRICES; STATISTICAL ANALYSIS; FINANCIAL MARKET; ENERGY (search for similar items in EconPapers)
JEL-codes: C49 G14 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1998
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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)
Journal Article: The North American Natural Gas Liquids Markets are Chaotic (1999)
Working Paper: The North American natural gas liquids markets are chaotic (1999)
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