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Hurst exponent 1 Oil market efficiency 1 Rolling approach 1 Shannon entropy 1 Structural breaks 1
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Free 1
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Article 1
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Beljid, Makram 1 Managi, Shunsuke 1 Mensi, Walid 1
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Economie Internationale 1
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Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets: Evidence from the Hurst exponent and Shannon entropy methods
Mensi, Walid; Beljid, Makram; Managi, Shunsuke - In: Economie Internationale (2014) 140, pp. 89-106
This paper examines the time-varying levels of weak-form efficiency and the presence of structural breaks for two worldwide crude oil benchmarks over the period spanning from January 2, 1990, through September 18, 2012. We use two different econophysics approaches for comparison purposes. The...
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