Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets : Evidence from the Hurst exponent and Shannon entropy methods
Walid Mensi, Makram Beljid, Shunsuke Managi
| 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 2110-7017, 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 | Entropie | Entropy | Strukturbruch | Structural break | Ölmarkt | Oil market | Effizienzmarkthypothese | Efficient market hypothesis | Volatilität | Volatility | Ölpreis | Oil price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.inteco.2014.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011525285