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Free lunch in the oil market: a note on Long Memory

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  • Sylvain Prado

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

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 oil market.

Suggested Citation

  • Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," Working Papers hal-04140982, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140982
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140982
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    References listed on IDEAS

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