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ArticleEfficiency in the crude oil futures market

Unknown author1998

Article1998

Efficiency in the crude oil futures market

Unknown author

117 citations·0/0 files stored·Journal of Energy Finance & Development

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Market Dynamics and Volatility Financial Markets and Investment Strategies Economics of Agriculture and Food Markets

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1988Asymptotic Normality, When Regressors Have a Unit Root 1992Two‐step testing procedure for price discovery role of futures prices 1994Unbiasedness and time varying risk premia in the crude oil futures market

Cited by

2006Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets 2003On the predictive accuracy of crude oil futures prices 2012Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence 2019The pricing efficiency of crude oil futures in the Shanghai International Exchange 2013Crude Oil Price Forecasting Techniques: A Comprehensive Review of Literature

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1995The effectiveness of arbitrage and speculation in the crude oil futures marketarticle · 6 shared references 1990COINTEGRATION AND UNIT ROOTSarticle · 5 shared references 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange marketsarticle · 5 shared references 2002Energy consumption and economic growth: assessing the evidence from Greecearticle · 5 shared references 1996Cointegration tests in the presence of structural breaksarticle · 5 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 5 shared references

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Year1998

Typearticle

Published1998-01-01

VenueJournal of Energy Finance & Development

ISSN-L1085-7443

Languageen

Citations117

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/s1085-7443(99)80065-9

openalex_workW1998334620

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