Free lunch in the oil market: a note on Long Memory
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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- 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, 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.
- Mohamed AROURI & Amine LAHIANI & D.-K. NGUYEN, 2010. "Forecasting the Conditional Volatility of Oil Spot andFutures Prices with Structural Breaksand Long Memory Models," Working Papers 661, Orleans Economic Laboratorys, University of Orleans.
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