Free lunch in the oil market: a note on Long Memory

In the crude oil market the phenomenon of Long Memory can be easily identified with the help of the simple (but effective) methodology of Katsumi Shimotsu. The Exact Local Whittle estimator and two testing strategies provide a strong assessment of the phenomenon. We present evidences and we suggest a profit opportunity. Furthermore, the existence of Long Memory discloses an inefficient cient oil market.

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Year of publication:	2011
Authors:	Prado, Sylvain Michael
Institutions:	EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
Subject:	oil market \| long memory \| ARFIMA-FIGARCH

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Extent:	application/pdf
Series:	EconomiX Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2011-23 23 pages
Classification:	C22 - Time-Series Models ; F47 - Forecasting and Simulation ; G17 - Financial Forecasting ; q47
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143627