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Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets : Evidence from the Hurst exponent and Shannon entropy methods
Mensi, Walid; Beljid, Makram; Managi, Shunsuke - In: International economics : a journal published by CEPII … 140 (2014), pp. 89-106
Persistent link: https://www.econbiz.de/10011525285
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An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets
Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177
Persistent link: https://www.econbiz.de/10012176113
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Efficiency, multifractality, and the long-memory property of the Bitcoin market : a comparative analysis with stock, currency, and gold markets
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Yoon, Seong-min - In: Finance research letters 27 (2018), pp. 228-234
Persistent link: https://www.econbiz.de/10012006868
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Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? : Evidence from an asymmetric MF-DFA approach
Mensi, Walid; Lee, Yun-Jung; Xuan Vinh Vo; Yoon, Seong-min - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012822250
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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis
Mensi, Walid; Lee, Yun Jung; Al-Yahyaee, Khamis Hamed; … - In: Finance research letters 31 (2019), pp. 19-25
Persistent link: https://www.econbiz.de/10012420970
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Why cryptocurrency markets are inefficient : the impact of liquidity and volatility
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ko, Hee-Un; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012654953
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A test of efficiency for the S&P 500 index option market using variance forecasts
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993 - Rev
Persistent link: https://www.econbiz.de/10000877939
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A test of efficiency for the S & P 500 index option market using variance forecasts
Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000886080
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Do bulls and bears moe across borders? : International transmission of stock returns and volatility
Lin, Wen-ling Tsai - In: The review of financial studies 7 (1994) 3, pp. 507-538
Persistent link: https://www.econbiz.de/10001169082
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Crude oil market efficiency : an empirical investigation via the Shannon Entropy
Mensi, Walid; Aloui, Chaker; Hamdi, Manel; Nguyen, Duc … - In: International economics : a journal published by CEPII … 129 (2012) 1, pp. 119-137
Persistent link: https://www.econbiz.de/10009765186