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Long-memory dynamic power volatility and market risk evaluation of Brent crude oil markets

Chin, Wen Cheong - In: The Journal of energy and development 36 (2010/11) 1/2, pp. 243-272

Persistent link: https://www.econbiz.de/10009666074

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: International economics : a journal published by CEPII … 140 (2014), pp. 89-106

Persistent link: https://www.econbiz.de/10011525285

Is efficiency of crude oil market affected by multifractality? : evidence from the WTI crude oil market

Gu, Rongbao; Zhang, Bing - In: Energy economics 53 (2016), pp. 151-158

Persistent link: https://www.econbiz.de/10011660491

The relationship between spot and futures oil prices : do structural breaks matter?

Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217

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Are the crude oil markets really becoming more efficient over time? : Some new evidence

Krištoufek, Ladislav - In: Energy economics 82 (2019), pp. 253-263

Persistent link: https://www.econbiz.de/10012173935

Are the crude oil markets really becoming more efficient over time? : some new evidence

Kristoufek, Ladislav - 2018

We replicate the study of Tabak & Cajueiro (2007): "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility" published in Energy Economics 29, pp. 28-36. The results have been mostly confirmed. Specifically, we have...

Persistent link: https://www.econbiz.de/10011809394