Long Memory in Energy Futures Prices

Posted: 7 Jul 2008

See all articles by John Elder

John Elder

Colorado State University

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: March 22, 2006


This paper extends the work in Serletis (1992) 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 semiparametric wavelet-based estimator, which is superior to the more prevalent GPH estimator (on the basis of Monte-Carlo evidence). We ├Żnd 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.

Keywords: Energy, Weak-form market efficiency, Long memory, Fractional integration

JEL Classification: C32, G14

Suggested Citation

Elder, John and Serletis, Apostolos, Long Memory in Energy Futures Prices (March 22, 2006). Review of Financial Economics, Vol. 17, No. 2, 2008, Available at SSRN: https://ssrn.com/abstract=1156396

John Elder (Contact Author)

Colorado State University ( email )

Dept of Finance & Real Estate
1272 Campus Delivery
Fort Collins, CO 80523
United States
970-491-2952 (Phone)

HOME PAGE: http://lamar.colostate.edu/~jelder

Apostolos Serletis

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
403 220-4091 (Phone)
403 282-5262 (Fax)

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