کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5066188 | 1372349 | 2007 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility](/preview/png/5066188.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 29, Issue 1, January 2007, Pages 28-36
Journal: Energy Economics - Volume 29, Issue 1, January 2007, Pages 28-36
نویسندگان
Benjamin M. Tabak, Daniel O. Cajueiro,