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A fractional ARIMA (ARFIMA) model in the analysis of historical crude oil prices

dc.contributor.authorMonge, Manuel
dc.contributor.authorInfante, Juan 
dc.date.accessioned2023-06-06T13:41:22Z
dc.date.available2023-06-06T13:41:22Z
dc.date.issued2023
dc.identifier.citationMonge, M., & Infante, J. (2022). A Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices. Energy RESEARCH LETTERS, 4(1). https://doi.org/10.46557/001c.36578es
dc.identifier.issn26526433
dc.identifier.urihttps://hdl.handle.net/20.500.12766/428
dc.description.abstractWe 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.es
dc.language.isoenges
dc.publisherAsia-Pacific Applied Economics Association (APAEA)es
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.titleA fractional ARIMA (ARFIMA) model in the analysis of historical crude oil priceses
dc.typejournal articlees
dc.description.departmentEmpresaes
dc.identifier.doi10.46557/001c.36578
dc.issue.number1es
dc.journal.titleEnergy Research Letterses
dc.rights.accessRightsopen accesses
dc.subject.keywordCrude oil priceses
dc.subject.keywordFractional integrationes
dc.subject.keywordJEL C00 C22 E30 Q40es
dc.subject.keywordPersistencees
dc.volume.number4es


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