Journal ArticleDOI
Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets: Evidence from the Hurst exponent and Shannon entropy methods
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In this paper, the authors examined the time-varying levels of weak-form efficiency and the presence of structural breaks for two worldwide crude oil benchmarks over the period spanning from January 2, 1990, through September 18, 2012.About:
This article is published in International Economics.The article was published on 2014-12-01. It has received 23 citations till now. The article focuses on the topics: Hurst exponent & Brent Crude.read more
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Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis
TL;DR: In this article, the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities) was estimated.
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Econophysics: Past and present
Eder Johnson de Area Leão Pereira,Marcus Fernandes da Silva,Hernane Borges de Barros Pereira +2 more
TL;DR: This article provided a brief historical review of the relationship between economics and physics, beginning with Adam Smith being influenced by Isaac Newton's ideas up to the present day including the new econophysics discipline and some of the tools applied to the economy.
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Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series
Miguel Henry,George G. Judge +1 more
TL;DR: The results demonstrate the ability of the PE method to detect the extent of complexity (irregularity) and to discriminate and classify admissible and forbidden states.
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Impact of the global financial crisis on the crude oil market
TL;DR: In this paper, the authors examined the effect of the 2008 global financial crisis on the crude oil market and found that the crisis altered the scale-invariant property of the oil market, and also negatively influenced market properties in terms of efficiency and long-term equilibrium.
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An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets
TL;DR: In this paper, the authors investigated the time varying efficiency of five European GIPSI stock markets, compared to global and regional U.S. markets using the MF-DFA approach and showed evidence of long memory in both short and long term for all markets.
References
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
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Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
TL;DR: In this paper, a test of the null hypothesis that an observable series is stationary around a deterministic trend is proposed, where the series is expressed as the sum of deterministic trends, random walks, and stationary error.
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Long-Term Storage Capacity of Reservoirs
TL;DR: In this paper, a solution of the problem of determining the reservoir storage required on a given stream, to guarantee a given draft, is presented, where a long-time record of annual total...
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Estimating and testing linear models with multiple structural changes
Jushan Bai,Pierre Perron +1 more
TL;DR: In this article, the authors developed the statistical theory for testing and estimating multiple change points in regression models, and several test statistics were proposed to determine the existence as well as the number of change points.