The North American Natural Gas Liquids Markets are Chaotic

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 ga...

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Veröffentlicht in:	The Energy journal (Cambridge, Mass.) Mass.), 1999-01, Vol.20 (1), p.83-103
Hauptverfasser:	Serletis, Apostolos, Gogas, Periklis
Format:	Artikel
Sprache:	eng
Schlagworte:	290201 - Energy Planning & Policy- Economics- (1992-) 294003 - Energy Planning & Policy- Natural Gas ALKANES BUTANE Chaos theory Crude oil Determinism DISTILLATES ECONOMIC ANALYSIS ECONOMICS Energy economics ENERGY PLANNING, POLICY AND ECONOMY ENERGY SOURCES ETHANE FLUIDS FOSSIL FUELS FUEL GAS FUELS GAS FUELS GASES HYDROCARBONS Hypotheses Investigations LIQUEFIED GASES LIQUEFIED NATURAL GAS Liquefied natural gas industry Liquids Macroeconomics MARKET NAPHTHA NATURAL GAS Natural gas liquids Natural gas prices Null hypothesis ORGANIC COMPOUNDS PETROLEUM PROPANE Refereed Papers Regulated industries Statistical analysis Statistical variance Studies Time series
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Zusammenfassung:	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 ofNychka, 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.
ISSN:	0195-6574 1944-9089
DOI:	10.5547/ISSN0195-6574-EJ-Vol20-No1-5