Barros, Carlos Pestana; Gil-Alana, Luis A. - School of Economics and Business Administration, … - 2011
The rise of oil prices is a main issue in contemporary economics. This study examines the monthly, weekly and daily … structure in several oil prices series using a modeling approach based on fractional integration and long range dependence. The … results indicate that oil prices series are highly persistent, with orders of integration equal to or higher than 1. Breaks in …