Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets: Evidence from the Hurst exponent and Shannon entropy methods-Reference-Cited by-同舟云学术

Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets: Evidence from the Hurst exponent and Shannon entropy methods

Published:2014-12 Issue: Volume:140 Page:89-106
ISSN:2110-7017
Container-title:International Economics
language:en
Short-container-title:International Economics

Author:

Mensi Walid,Beljid Makram,Managi Shunsuke

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,General Business, Management and Accounting

Reference58 articles.

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2. Crude oil market efficiency and modeling: insights from the multiscaling autocorrelation pattern;Alvarez-Ramirez;Energy Econ,2010

3. Multifractal Hurst analysis of crude oil prices;Alvarez-Ramirez;Physica A,2002

4. Predictibility of Dow Jones Index via chaotic symbolic dynamics;Alvo;World Appl Sci J,2011

5. Time-varying predictability in crude-oil markets: the case of GCC countries;Arouri;Energy Policy,2010

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