Template-Type: ReDIF-Article 1.0
Author-Name:  Apostolos Serletis 
Author-Name:  Periklis Gogas
Title:  The North American Natural Gas Liquids Markets are Chaotic
Classification-JEL: F0
Pages:  83-103
Volume:  Volume20
Issue:  Number 1
Year:  1999
Abstract:  In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas, hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant, and McCaffrey (1992). We conclude that there is evidence, consistent with a chaotic nonlinear generation process in all five natural gas liquids markets.
Handle: RePEc:aen:journl:1999v20-01-a05
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=1303
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