The goals of the paper are as follows: (i) review some qualitative properties of oil and gas prices in the last 15 years; (ii) propose some mathematical elements towards a definition of mean reversion that would not be reduced to the form of the drift in a stochastic differential equation; (iii) conduct econometric tests in order to conclude whether mean reversion still exists in the energy commodity price behavior. Regarding the third point, a clear “break” in the properties of oil and natural gas prices and volatility can be exhibited in the period 2000–2001.
CITATION STYLE
Geman, H. (2007). Mean reversion versus random walk in oil and natural gas prices. In Applied and Numerical Harmonic Analysis (pp. 219–228). Springer International Publishing. https://doi.org/10.1007/978-0-8176-4545-8_12
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