Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets : Evidence from the Hurst exponent and Shannon entropy methods
Year of publication: |
December 2014
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Authors: | Mensi, Walid ; Beljid, Makram ; Managi, Shunsuke |
Published in: |
International economics : a journal published by CEPII (Center for research and expertise on the world economy). - [Amsterdam] : Elsevier, ISSN 1240-8093, ZDB-ID 1232628-8. - Vol. 140.2014, p. 89-106
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Subject: | Oil market efficiency | Structural breaks | Hurst exponent | Shannon entropy | Rolling approach | Strukturbruch | Structural break | Entropie | Entropy | Ölmarkt | Oil market | Effizienzmarkthypothese | Efficient market hypothesis | Volatilität | Volatility | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis |
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