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

235 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Commodity futures and market efficiency (2013, background): “More recently, Tabak and Cajueiro (2007) analyze the efficiency of Brent and WTI crude oil using the rescaled range analysis and show that the markets are becoming more efficient in time.”
Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2013, background): “The presence of multifractality suggests the inefficiency [1–6], volatility predictability [7], crash predictions [8,9], and complexity [10–12] of the market.”
Modeling and forecasting the volatility of petroleum futures prices (2013, background): “particular, some have investigated whether times series of petroleum prices demonstrate long-memory properties of returns or volatility (Brunetti and Gilbert, 2000; Serletis and Andreadis, 2004; Elder and Serletis, 2008; Tabak and Cajueiro, 2007; Aloui and Mabrouk, 2010).”
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, methodology): “(Tabak and Cajueiro, 2007; Choi and Hammoudeh, 2009; Kang et al., 2009) using”