Is efficiency of crude oil market affected by multifractality? : evidence from the WTI crude oil market
Year of publication: |
January 2016
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Authors: | Gu, Rongbao ; Zhang, Bing |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 53.2016, p. 151-158
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Subject: | Crude oil market | Inefficiency | Multifractality | Nonlinear correlation | Nonlinear Granger causality test | Ölmarkt | Oil market | Welt | World | Kausalanalyse | Causality analysis | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Effizienzmarkthypothese | Efficient market hypothesis | Nichtlineare Regression | Nonlinear regression | ARCH-Modell | ARCH model | Schätzung | Estimation | Erdöl | Petroleum |
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