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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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Long-memory dynamic power volatility and market risk evaluation of Brent crude oil markets
Chin, Wen Cheong - In: The Journal of energy and development 36 (2010/11) 1/2, pp. 243-272
Persistent link: https://www.econbiz.de/10009666074
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Unveiling time-varying asymmetries in the stock market returns through energy prices, green innovation, and market risk factors : wavelet-based evidence from China
Ramzan, Muhammad; Hossain, Mohammad Razib; Abbasi, … - In: Economic change & restructuring 57 (2024) 3, pp. 1-36
Persistent link: https://www.econbiz.de/10015045169
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Are the crude oil markets becoming more efficient over time? : new evidence from a generalized spectral test
Zhang, Bing - In: Energy economics 40 (2013), pp. 875-881
Persistent link: https://www.econbiz.de/10010355552
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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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The relationship between spot and futures oil prices : do structural breaks matter?
Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217
Persistent link: https://www.econbiz.de/10010504823
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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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Are the crude oil markets really becoming more efficient over time? : some new evidence
Kristoufek, Ladislav - 2018
We replicate the study of Tabak & Cajueiro (2007): "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility" published in Energy Economics 29, pp. 28-36. The results have been mostly confirmed. Specifically, we have...
Persistent link: https://www.econbiz.de/10011809394
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Oil and stock market momentum
Chen, Chun-Da; Cheng, Chiao-Ming; Demirer, Rıza - In: Energy economics 68 (2017), pp. 151-159
Persistent link: https://www.econbiz.de/10011905040
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Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry
Zhu, Zhaobo; Ji, Qiang; Sun, Licheng; Zhai, Pengxiang - In: International review of financial analysis 70 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012318226