Further evidence on the debate of oil-gas price decoupling: A long memory approach

The long-run oil–gas price relationship has been challenged more often in recent years, as these two prices have shown evidence of decoupling from each other. This paper proposes the use of a long-memory approach and a rolling-windows method to model the time-varying oil–gas price relationship in three markets, namely, the United States, Europe and Japan. The results extend existing research conclusions on the oil–gas price relationship and...