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Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
2011
Mathematical and computer modelling
This study examined the martingale hypothesis in the spot prices of the petroleum products markets. Under the parametric and non-parametric variance ratio tests, the independent and identically distributed increments and less restrictive martingale increments are evaluated over the period 1986-2009. In order to investigate how the energy markets' efficiency evolved over the long spanning data, we had divided them into three subperiods according to several important events that strongly
doi:10.1016/j.mcm.2011.04.022
fatcat:kslszn3q2jbh5dcibiixla7foe