Long memory in energy futures markets: Further evidence |
| |
Authors: | Yudong Wang Chongfeng Wu |
| |
Institution: | Antai College of Economics & Management, Shanghai Jiao Tong University, Fahuazhen Road 535, Shanghai, PR China |
| |
Abstract: | This paper investigates long memory (or long-range dependence) in price returns and volatilities of energy futures contracts with different maturities. Based on a modified rescaled range analysis and three local Whittle methods, the results from rolling sample test suggest that the returns showed little or no long-range dependence over time but the volatilities displayed significant time-varying long-range dependence. Our evidence shows that some extreme events could cause long memory in returns and volatilities, leading to market inefficiency. Employing multiscale analysis, we find that the returns displayed no long-range dependence for any of the chosen time scales. Significant long-range dependence only existed in volatilities for daily time scales but not for monthly or yearly time scales. |
| |
Keywords: | G13 C22 |
本文献已被 ScienceDirect 等数据库收录! |
|