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Are there exploitable inefficiencies in the futures market for oil?

  • Shambora, William E.
  • Rossiter, Rosemary
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    File URL: http://www.sciencedirect.com/science/article/B6V7G-4HH81JW-1/2/a9531985047200f2d17d85583e9e4db9
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    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 29 (2007)
    Issue (Month): 1 (January)
    Pages: 18-27

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    Handle: RePEc:eee:eneeco:v:29:y:2007:i:1:p:18-27
    Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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    1. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
    2. Fernandez-Rodriguez, Fernando & Gonzalez-Martel, Christian & Sosvilla-Rivero, Simon, 2000. "On the profitability of technical trading rules based on artificial neural networks:: Evidence from the Madrid stock market," Economics Letters, Elsevier, vol. 69(1), pages 89-94, October.
    3. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
    4. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    6. Kanas, Angelos & Yannopoulos, Andreas, 2001. "Comparing linear and nonlinear forecasts for stock returns," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 383-398, December.
    7. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
    8. Gulen, S. Gurcan, 1998. "Efficiency in the crude oil futures market," Journal of Energy Finance & Development, Elsevier, vol. 3(1), pages 13-21.
    9. Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc.
    10. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272, March.
    11. Gencay, Ramazan, 1998. "The predictability of security returns with simple technical trading rules," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 347-359, October.
    12. Gencay, Ramazan, 1998. "Optimization of technical trading strategies and the profitability in security markets," Economics Letters, Elsevier, vol. 59(2), pages 249-254, May.
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