Detalle Publicación

Persistence in some energy future markets

Autores: Cuñado Eizaguirre, Juncal; Gil Alaña, Luis Alberiko; Perez de Gracia, Fernando
Título de la revista: JOURNAL OF FUTURES MARKETS
ISSN: 0270-7314
Volumen: 30
Número: 5
Páginas: 490 - 507
Fecha de publicación: 2010
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.