Short-term predictability of crude oil markets: A detrended fluctuation analysis approach
作者： Jose Alvarez-Ramirez , Jesus Alvarez , Eduardo Rodriguez
DOI: 10.1016/J.ENECO.2008.05.006
关键词: Petroleum 、 Efficient-market hypothesis 、 Predictability 、 Economics 、 Hurst exponent 、 Econometrics 、 Term (time) 、 Time variations 、 Detrended fluctuation analysis 、 Crude oil
摘要: … Tests for time variations of the Hurst exponent indicate that … This means that the market exhibits a time-varying short-term inefficient behavior that becomes efficient in the long term. The …
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