Persistence and cycles in historical oil price data

Show simple item record Gil-Alana, Luis A. Gupta, Rangan 2015-07-27T08:28:15Z 2015-07-27T08:28:15Z 2014-09
dc.description.abstract This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence and cyclicity. Using monthly data from September 1859 to October 2013, we observe that the series presents two peaks in the spectrum, one occurring at the long run or zero frequency and the other at a cyclical frequency. These features can be well described in terms of a long memory model that incorporates both peaks in the spectrum. It is found that the order of integration at the zero frequency is about 0.6, and the one at the cyclical frequency is substantially smaller (of about 0.3) with the length of the cycles being approximately of about 74 periods (months), which is consistent with the length suggested by the business cycle theory. en_ZA
dc.description.embargo 2015-09-30 en_ZA
dc.description.librarian hb2015 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Gil-Alana, LA & Gupta, R 2014, 'Persistence and cycles in historical oil price data', Energy Economics, vol. 45, pp. 511-516. en_ZA
dc.identifier.issn 0140-9883 (print)
dc.identifier.issn 1873-6181 (online)
dc.identifier.other 10.1016/j.eneco.2014.08.018
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2014 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics, vol. 45, pp. 511-516, 2014. doi : 10.1016/j.eneco.2014.08.018. en_ZA
dc.subject Oil prices en_ZA
dc.subject Cycles en_ZA
dc.subject Persistence en_ZA
dc.subject Long memory en_ZA
dc.title Persistence and cycles in historical oil price data en_ZA
dc.type Postprint Article en_ZA

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