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Free lunch in the oil market: a note on Long Memory

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  • Sylvain Prado

Abstract

In 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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File URL: http://economix.fr/pdf/dt/2011/WP_EcoX_2011-23.pdf
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Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2011-23.

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Length: 23 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:drm:wpaper:2011-23

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Keywords: oil market; long memory; ARFIMA-FIGARCH;

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  1. 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," Working Papers hal-00507831, HAL.
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