Essays on the price behaviours of energy commodities (Chaos, fractality, wavelet and non-linearity)
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Abstract (EN)
This dissertation investigates the pricing behaviors of major energy commodities; crude oil (wti), gasoline, heating oil and natural gas in different aspects. In this context, the initial focus is on testing nonlinear, long memory, chaotic and fractal behaviors of those energy commodities, and examining whether wavelet studies contribute to modeling and forecasting in a positive way. On the other hand, since it is found that there exist no chaotic and fractal behavior, FIAPARCH and Levy process are evaluated under stochastic modelling additionally.
Author
Murat Gençer
Institution
How to Cite
Murat Gençer (Doctorate thesis). Essays on the price behaviours of energy commodities (Chaos, fractality, wavelet and non-linearity), 2017, Yeditepe University.
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