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Persistence in some energy futures markets

✍ Scribed by Juncal Cunado; Luis A. Gil-Alana; Fernando Perez de Gracia

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 285 KB
Volume: 30
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20426

No coin nor oath required. For personal study only.

✦ Synopsis

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

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