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Mean Reversion versus Random Walk in Oil and Natural Gas Prices

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Figure

Fig. 1. Dow Jones-AIG Total Return Index over the period Jan 2002–July 2006.
Fig. 3. Goldman Sachs Commodity Index Total Return and Dow Jones-AIG Com- Com-modity Index total return over the period Feb 1991–Dec 1999.
Fig. 4. NYMEX Crude Oil Front: month daily prices over the period Jan 2003–Aug 2005.

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