Unit root behavior in energy futures prices

Por • 28 dic, 2017 • Sección: Educacion

Serletis, Apostolos (1992)

 

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Abstract. This paper re-examines the empirical evidence for random walk type behavior in energy futures prices. In doing so, tests for unit roots in the univariate time-series representation of the daily crude oil, heating oil, and unleaded gasoline series are performed using recent state-of-the-art methodology. The results show that the unit root hypothesis can be rejected if allowance is made for the possibility of a one-time break in the intercept and the slope of the trend function at an unknown point in time.

Unit root behavior in energy futures prices. Published in: The Energy Journal , Vol. 13, No. 2 (1992): pp. 119-128.

https://mpra.ub.uni-muenchen.de/id/eprint/1744

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