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Random fractal structures in North American energy markets

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Cited by:

  1. Ortiz-Cruz, Alejandro & Rodriguez, Eduardo & Ibarra-Valdez, Carlos & Alvarez-Ramirez, Jose, 2012. "Efficiency of crude oil markets: Evidences from informational entropy analysis," Energy Policy, Elsevier, vol. 41(C), pages 365-373.
  2. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu & Huang, Wei-qiang, 2014. "Stable distribution and long-range correlation of Brent crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 173-179.
  3. Ahmadlou, Mehran & Adeli, Hojjat & Adeli, Amir, 2012. "Improved visibility graph fractality with application for the diagnosis of Autism Spectrum Disorder," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4720-4726.
  4. Wang, Yudong & Wu, Chongfeng, 2012. "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2289-2297.
  5. Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
  6. He, Ling-Yun & Fan, Ying & Wei, Yi-Ming, 2009. "Impact of speculator's expectations of returns and time scales of investment on crude oil price behaviors," Energy Economics, Elsevier, vol. 31(1), pages 77-84, January.
  7. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  8. Alvarez-Ramirez, Jose & Alvarez, Jesus & Solis, Ricardo, 2010. "Crude oil market efficiency and modeling: Insights from the multiscaling autocorrelation pattern," Energy Economics, Elsevier, vol. 32(5), pages 993-1000, September.
  9. Jiang, Zhi-Qiang & Xie, Wen-Jie & Zhou, Wei-Xing, 2014. "Testing the weak-form efficiency of the WTI crude oil futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 235-244.
  10. Zou, Shaohui & Zhang, Tian, 2020. "Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  11. Josselin Garnier & Knut Solna, 2018. "Emergence of Turbulent Epochs in Oil Prices," Papers 1808.09382, arXiv.org, revised Apr 2019.
  12. Mjelde, James W. & Bessler, David A., 2009. "Market integration among electricity markets and their major fuel source markets," Energy Economics, Elsevier, vol. 31(3), pages 482-491, May.
  13. Alvarez-Ramirez, J. & Alvarez, J. & Rodríguez, E., 2015. "Asymmetric long-term autocorrelations in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 330-341.
  14. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, vol. 12(4), pages 1-30, February.
  15. Wang, Yudong & Wu, Chongfeng, 2012. "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, vol. 29(2), pages 349-360.
  16. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
  17. Martina, Esteban & Rodriguez, Eduardo & Escarela-Perez, Rafael & Alvarez-Ramirez, Jose, 2011. "Multiscale entropy analysis of crude oil price dynamics," Energy Economics, Elsevier, vol. 33(5), pages 936-947, September.
  18. Wang, Yudong & Liu, Li, 2010. "Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis," Energy Economics, Elsevier, vol. 32(5), pages 987-992, September.
  19. Apostolos Serletis & Asghar Shahmoradi, 2007. "Business Cycles and Natural Gas Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 7, pages 73-81, World Scientific Publishing Co. Pte. Ltd..
  20. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
  21. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
  22. Garnier, Josselin & Solna, Knut, 2019. "Emergence of turbulent epochs in oil prices," Chaos, Solitons & Fractals, Elsevier, vol. 122(C), pages 281-292.
  23. Cerqueti, Roy & Fanelli, Viviana & Rotundo, Giulia, 2019. "Long run analysis of crude oil portfolios," Energy Economics, Elsevier, vol. 79(C), pages 183-205.
  24. Aghababa, Hajar & Barnett, William A., 2016. "Dynamic structure of the spot price of crude oil: does time aggregation matter?," Energy Economics, Elsevier, vol. 59(C), pages 227-237.
  25. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
  26. Gu, Rongbao & Chen, Hongtao & Wang, Yudong, 2010. "Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2805-2815.
  27. Hafezi, Reza & Akhavan, AmirNaser & Pakseresht, Saeed & A. Wood, David, 2021. "Global natural gas demand to 2025: A learning scenario development model," Energy, Elsevier, vol. 224(C).
  28. Charles, Amélie & Darné, Olivier, 2009. "The efficiency of the crude oil markets: Evidence from variance ratio tests," Energy Policy, Elsevier, vol. 37(11), pages 4267-4272, November.
  29. Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  30. Samet Gunay & Audil Rashid Khaki, 2018. "Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models," JRFM, MDPI, vol. 11(2), pages 1-19, June.
  31. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
  32. Zhang, Yahui & Liu, Li, 2018. "The lead-lag relationships between spot and futures prices of natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 203-211.
  33. Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
  34. Abdullah Sultan Al Shammre & Benaissa Chidmi, 2023. "Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models," Energies, MDPI, vol. 16(11), pages 1-24, May.
  35. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
  36. Kristoufek, Ladislav, 2019. "Are the crude oil markets really becoming more efficient over time? Some new evidence," Energy Economics, Elsevier, vol. 82(C), pages 253-263.
  37. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying & Huang, Wei-qiang, 2014. "Analysis of the temporal properties of price shock sequences in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 235-246.
  38. Tabak, Benjamin M. & Cajueiro, Daniel O., 2007. "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility," Energy Economics, Elsevier, vol. 29(1), pages 28-36, January.
  39. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Mefteh-Wali, Salma & Owusu, Patrick, 2023. "Measuring price efficiency in petroleum markets: New insights using various long-range dependence techniques," Resources Policy, Elsevier, vol. 82(C).
  40. Roy Cerqueti & Viviana Fanelli, 2021. "Long memory and crude oil’s price predictability," Annals of Operations Research, Springer, vol. 299(1), pages 895-906, April.
  41. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).
  42. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.
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