Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility

This paper analyzes the efficiency of crude oil markets (Brent and West Texas Intermediate) by means of estimating the fractal structure of these time series. We test for time-varying degrees of long-range dependence using the Rescaled Range Hurst analysis and find evidence that this market has become more efficient over time. These results are robust for controlling for short-term autocorrelation by means of a shuffling procedure.