Zhang, Bing; Li, Xiao-Ming; He, Fei - In: Energy Policy 68 (2014) C, pp. 39-52
Utilising a time-varying GAR (1)-TGARCH (1,1) model with different frequency data, we investigate the weak-form efficiency of major global crude oil spot markets in Europe, the US, the UAE and China for the period from December 2001 to August 2013. Our empirical results with weekly data indicate...