Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10010857034
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...
Persistent link: https://www.econbiz.de/10004984002
This paper tests the theory of storage-the hypothesis that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases in energy markets (crude oil, heating oil, and unleaded gas markets). We use the Fama and French (1988) indirect test, based on the relative...
Persistent link: https://www.econbiz.de/10004984135
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...
Persistent link: https://www.econbiz.de/10004986795
Persistent link: https://www.econbiz.de/10004986936
This paper presents evidence concerning shared stochastic trends in North American natural gas (spot) markets, using monthly data for the period that natural gas has been traded on organized exchanges (from June, 1990 to January, 1996). In doing so, it uses the Engle and Granger (1987) approach...
Persistent link: https://www.econbiz.de/10004986969
Persistent link: https://www.econbiz.de/10008670287