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
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DOI：
10.1016/j.eneco.2006.06.007
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发表时间：
2007-01-01
期刊：
影响因子：
12.8
通讯作者：
Cajueiro, Daniel O.
中科院分区：
文献类型：
--
作者：
Tabak, Benjamin M.;Cajueiro, Daniel O.
本文通过估计原油市场（布伦特和西德克萨斯中质原油）时间序列的分形结构，分析了这两个市场的有效性。我们使用重新标度范围赫斯特分析测试随时间变化的长期依赖程度，并发现证据表明，随着时间的推移，这个市场已经变得更加有效。这些结果是鲁棒的控制短期自相关的洗牌程序的装置。(c)2006 Elsevier B.V.保留所有权利。
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. (c) 2006 Elsevier B.V. All rights reserved.