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

Sylvain Prado

Working Papers from HAL

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.

Keywords: oil market; long memory; ARFIMA-FIGARCH (search for similar items in EconPapers)
Date: 2011
Note: View the original document on HAL open archive server: https://hal.science/hal-04140982
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Working Paper: Free lunch in the oil market: a note on Long Memory (2011)
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