Elder, John; Serletis, Apostolos - In: Review of Financial Economics 17 (2008) 2, pp. 146-155
This paper extends the work in Serletis [Serletis, A. (1992). Unit root behavior in energy futures prices. The Energy Journal 13, 119-128] by re-examining the empirical evidence for random walk type behavior in energy futures prices. It tests for fractional integrating dynamics in energy futures...