The North American natural gas liquids markets are chaotic

Apostolos Serletis and Periklis Gogas

MPRA Paper from University Library of Munich, Germany

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: Chaos; Natural Gas; Lyapunov exponent (search for similar items in EconPapers)
JEL-codes: C22 G10 Q4 (search for similar items in EconPapers)
Date: 1999
References: View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Published in The Energy Journal 1.20(1999): pp. 83-103

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/1576/1/MPRA_paper_1576.pdf original version (application/pdf)

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 (1998)
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:pra:mprapa:1576

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter (winter@lmu.de).