Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010
This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil...