Developments in applied econometrics, particularly with regard to unit root tests and
cointegration tests, have motivated a rich empirical literature on energy economics over the …

In this study, we revisit the oil–stock nexus by accounting for the role of macroeconomic
variables and testing their in-sample and out-of-sample predictive powers. We follow the …

In this paper, we propose a GARCH-based unit root test that is flexible enough to account
for;(a) trending variables,(b) two endogenous structural breaks, and (c) heteroskedastic data …

This paper reviews and discusses methodological choices and statistical inferences relevant
to the literature that has worked at identifying long-memory behaviours within the stochastic …

We answer two questions concerning natural gas spot and futures prices. The first is: Can
natural gas futures prices predict natural gas spot prices? The second is: Are natural gas …

We test the random-walk hypothesis for the Indian stock market by applying three unit root
tests with two structural breaks. We find that unit root tests that allow for two structural breaks …

Evidence published in this journal by Bal and Rath (2015) purports a bidirectional nonlinear
causality between oil price and India's exchange rate and, for China, unidirectional …

We apply a recently developed unit root test that simultaneously accounts for
heteroskedasticity and structural breaks to United States monthly natural gas consumption …

There is a sizeable literature that tests for weak-form efficiency in commodity and energy
spot and future prices. While many studies now allow for multiple structural breaks to …

We test for convergence in disaggregated petroleum consumption at the sector level for the
United States using the recently proposed GARCH unit root test, suitable for high frequency …