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Further evidence on the time-varying efficiency of crude oil markets
2012
Energy Studies Review
In this paper, we apply the rolling sample Shannon entropy and the Symbolic Time Series Analysis to evaluate the dynamic of weak-form efficiency of the crude oil markets. Daily closing spot prices data for two worldwide crude oil benchmarks (West Texas Intermediate and Europe Brent) are used with a time window of 4 years. Our main findings support evidence that the degree of efficiency of crude oil market is time-varying. Moreover, the WTI market appears to be less efficient than the Europe
doi:10.15173/esr.v19i2.540
fatcat:xmqidirscbh5nk74kknlyab7gq