Alvarez-Ramirez, Jose; Cisneros, Myriam; Ibarra-Valdez, … - In: Physica A: Statistical Mechanics and its Applications 313 (2002) 3, pp. 651-670
Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals...