Oil prices: Persistence and breaks

被引：6
作者：
Barros, Carlos Pestana [1 ,2 ]
Gil-Alana, Luis A. [3 ,4 ]
机构：
[1] Univ Tecn Lisboa, Inst Super Econ & Gestao, Lisbon, Portugal
[2] Univ Tecn Lisboa, Res Unit Complex & Econ, Lisbon, Portugal
[3] Univ Navarra, Fac Econ, Edificio Amigos, E-31080 Pamplona, Spain
[4] Univ Navarra, NCID ICS, Edificio Amigos, E-31080 Pamplona, Spain
来源：
ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY | 2016年 / 11卷 / 02期
关键词：
Fractional integration; oil prices; persistence and breaks; ENERGY-CONSUMPTION PERMANENT; LONG MEMORY; STRUCTURAL BREAKS; TIME-SERIES; SHOCKS; MODEL; FLUCTUATIONS; TEMPORARY; TESTS; PANEL;
D O I：
10.1080/15567249.2011.590846
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
The rise of oil prices is a main issue in contemporary economics. This study examines the monthly, weekly and daily structure in several oil prices series using a modeling approach based on fractional integration and long- range dependence. The results indicate that oil prices series are highly persistent, with orders of integration equal to or higher than 1. Breaks in the series do not alter the main conclusions of this study. That means that shocks have a permanent nature and strong policy measures must be implemented to return the series to their original long- term projections.
引用
收藏
页码：137 / 149
页数：13
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