A novel market efficiency index for energy futures and their term structure risk premiums
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DOI: 10.1016/j.eneco.2018.09.010
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- Zhang, Lihong & Wang, Jun & Wang, Bin, 2020. "Energy market prediction with novel long short-term memory network: Case study of energy futures index volatility," Energy, Elsevier, vol. 211(C).
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More about this item
Keywords
Futures efficiency; Term premium; Energy futures; Efficiency index; Time-varying risk premium;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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