Long memory in German energy price indices

@inproceedings{GilAlana2012LongMI,
  title={Long memory in German energy price indices},
  author={Guglielmo Maria Gil-Alana},
  year={2012}
}
  • Guglielmo Maria Gil-Alana
  • Published 2012
This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken using monthly data from January 2000 to August 2011. The results… CONTINUE READING