Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach
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DOI: 10.1016/j.ribaf.2021.101403
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- Umar, Zaghum & Aziz, Saqib & Tawil, Dima, 2021.
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- A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
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Keywords
Energy markets; Spot markets; Generalised Hurst exponent; Efficient market hypothesis;All these keywords.
JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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