Long memory in energy futures prices
By J. Elder, Apostolos Serletis. 2008
132 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e5122de39ec95d10514c9d2468f8a316fc25830b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Duc Khuong Nguyen
- Mohamed Arouri
- Sang Hoon Kang
- George Filis
- Amine Lahiani
- Seong‐Min Yoon
- Shawkat Hammoudeh
- Stavros Degiannakis *
In Finance
- Duc Khuong Nguyen
- Mohamed Arouri
- Sang Hoon Kang
- Amine Lahiani
- Shawkat Hammoudeh
- Seong‐Min Yoon
- George Filis
- Walid Chkili
Citations in the corpus
- Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, methodology): “As pointed out by Elder and Serletis (2008), the evidence of predictability in oil markets would imply the invalidity of weak-form informational efficiency and offer market operators the possibility to exploit any deviations of oil prices from their fundamental value in order to consistently earn ab”
- Modeling and forecasting the volatility of petroleum futures prices (2013, background): “This result is consistent with the findings of Elder and Serletis (2008), who examined prices of crude oil futures contracts using GPH and wavelet OLS estimators.”
- Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis (2010, methodology): “Besides Tabak and Cajueiro (2007), Elder and Serletis (2008) using a new semi-parametric wavelet-based estimator, which was superior to the more prevalent GPH estimator found evidence that energy prices displayed long memory (long-range correlations) and that the particular form of long memory was…”
- Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, background): “It may, for example, examine both symmetry or asymmetry and the long memory (LM) of commodity volatility behavior separately or simultaneously (Aloui and Mabrouk, 2010; Elder and Serletis, 2008; Wang et al., 2011).”