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

Sylvain Prado

No 2011-23, EconomiX Working Papers from University of Paris Nanterre, EconomiX

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 cient oil market.

Keywords: oil market; long memory; ARFIMA-FIGARCH (search for similar items in EconPapers)
JEL-codes: C22 F47 G17 Q47 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2011
New Economics Papers: this item is included in nep-ene
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