@article{20.500.12766/428,
year = {2023},
url = {https://hdl.handle.net/20.500.12766/428},
abstract = {We investigate historical data for crude oil prices using autoregressive fractionally
integrated moving average (ARFIMA) models to determine whether shocks in the series
have transitory or permanent effects. Our best specification is an ARFIMA(2,d,2) with an
estimated value of d around 0.4, but its confidence interval is wide and does not allow us
to either reject the I(0) or the I(1) hypotheses. This high level of uncertainty may be due
to the presence of breaks or non-linear trends in the data.},
publisher = {Asia-Pacific Applied Economics Association (APAEA)},
title = {A fractional ARIMA (ARFIMA) model in the analysis of historical crude oil prices},
doi = {10.46557/001c.36578},
journal = {Energy Research Letters},
keywords = {Crude oil prices},
keywords = {Fractional integration},
keywords = {JEL C00 C22 E30 Q40},
keywords = {Persistence},
volume = {4},
author = {Monge, Manuel and Infante, Juan},
}