Journal article
Long Memory in Oil and Refined Products Markets
The Energy journal (Cambridge, Mass.), v 30(2), pp 97-116
01 Jan 2009
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We test for the Presence of long memory in daily, oil and refined products prices' absolute return, squared return and conditional volatility, using several parametric and semiparametric methods. This study finds strong evidence of long memory (LM) in the daily absolute and squared-spot and futures returns for crude oil, gasoline and heating oil but at different degrees. The FIGARCH model also demonstrates strong evidence of LM for volatility for most of oil and products prices' returns, with also different resilience levels. Structural breaks have only the partial effects of slightly reducing persistence for just absolute and-squared returns. Examining the forecasting behavior of two competing models, the less parsimonious ARFIMA which satisfies the LM property, and the parsimonious ARMA with short-term processes, the ARFIMA model provides significantly better out-of-sample forecasts at all forecasting horizons for all three Petroleum types.
Metrics
Details
- Title
- Long Memory in Oil and Refined Products Markets
- Creators
- Kyongwook Choi - Univ Seoul, Dept Econ, Seoul 130743, South KoreaShawkat Hammoudeh - Drexel University
- Publication Details
- The Energy journal (Cambridge, Mass.), v 30(2), pp 97-116
- Publisher
- Int Assoc Energy Economics
- Number of pages
- 20
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000264734400005
- Scopus ID
- 2-s2.0-77749301777
- Other Identifier
- 991019170477304721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics
- Energy & Fuels
- Environmental Studies