Premium
Long memory in energy futures prices
Author(s) -
Elder John,
Serletis Apostolos
Publication year - 2007
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2006.10.002
Subject(s) - futures contract , long memory , econometrics , wavelet , estimator , short term memory , economics , monte carlo method , random walk , unit root , energy (signal processing) , financial economics , mathematics , computer science , statistics , psychology , cognition , volatility (finance) , artificial intelligence , neuroscience , working memory
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 markets utilizing more recent data (from January 3, 1994 to June 30, 2005) and a new semi‐parametric wavelet‐based estimator, which is superior to the more prevalent GPH estimator (on the basis of Monte‐Carlo evidence). We find new evidence that energy prices display long memory and that the particular form of long memory is anti‐persistence, characterized by the variance of each series being dominated by high frequency (low wavelet scale) components.