Evolving efficiency of spot and futures energy markets: A rolling sample approach
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DOI: 10.1016/j.jbef.2015.03.006
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- Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Ozkan, Oktay, 2021. "Impact of COVID-19 on stock market efficiency: Evidence from developed countries," Research in International Business and Finance, Elsevier, vol. 58(C).
- Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
- Chen, Yingqi & Ba, Shusong & Yang, Qing & Yuan, Tian & Zhao, Haibo & Zhou, Ming & Bartocci, Pietro & Fantozzi, Francesco, 2021. "Efficiency of China’s carbon market: A case study of Hubei pilot market," Energy, Elsevier, vol. 222(C).
- Charfeddine, Lanouar & Benlagha, Noureddine, 2016. "A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 168-189.
- Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
- Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
- Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
- Jebabli, Ikram & Roubaud, David, 2018.
"Time-varying efficiency in food and energy markets: Evidence and implications,"
Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
- Ikram Jebabli & David Roubaud, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Post-Print hal-02330557, HAL.
- Kumar, Satish & Rao, Sandeep & Goyal, Kirti & Goyal, Nisha, 2022. "Journal of Behavioral and Experimental Finance: A bibliometric overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
- Ke Meng & Shouhao Li, 2021. "The adaptive market hypothesis and high frequency trading," PLOS ONE, Public Library of Science, vol. 16(12), pages 1-19, December.
- Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian, 2020. "Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 605-619, December.
- Bariviera, Aurelio F. & Fabregat-Aibar, Laura & Sorrosal-Forradellas, Maria-Teresa, 2023. "Disentangling the impact of economic and health crises on financial markets," Research in International Business and Finance, Elsevier, vol. 65(C).
- Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
- Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
- Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
- Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
- Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
- Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018.
"Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
- Lanouar Charfeddine & Karim Ben Khediri & Goodness C. Aye & Rangan Gupta, 2017. "Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data," Working Papers 201771, University of Pretoria, Department of Economics.
- XuGuang Wang & Liang Yan & XiaoGuang Zhao, 2022. "Tackling the ecological footprint in china through energy consumption, economic growth and CO2 emission: an ARDL approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(2), pages 511-531, April.
- Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).
- Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
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Keywords
Market efficiency; Energy market; Rolling approach; Variance Ratio; Run test; Modified R/S and DFA;All these keywords.
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