Gu, Rongbao; Chen, Hongtao; Wang, Yudong - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2805-2815
The multifractal nature of WTI and Brent crude oil markets is studied employing the multifractal detrended fluctuation analysis. We find that two crude oil markets become more and more efficient for long-term and two Gulf Wars cannot change time scale behavior of crude oil return series....