Free lunch in the oil market: a note on Long Memory
AbstractIn the crude oil market the phenomenon of Long Memory can be easily identified with the help of the simple (but effective) methodology of Katsumi Shimotsu. The Exact Local Whittle estimator and two testing strategies provide a strong assessment of the phenomenon. We present evidences and we suggest a profit opportunity. Furthermore, the existence of Long Memory discloses an inefficient cient oil market.
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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2011-23.
Length: 23 pages
Date of creation: 2011
Date of revision:
oil market; long memory; ARFIMA-FIGARCH;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
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- Mohamed El Hedi Arouri & Duc Khuong Nguyen & Amine Lahiani, 2010.
"Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models,"
- Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 283-293.
- Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers 13, Development and Policies Research Center (DEPOCEN), Vietnam.
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