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Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach
Research in International Business and Finance ( IF 6.143 ) Pub Date : 2021-02-24 , DOI: 10.1016/j.ribaf.2021.101403
Aviral Kumar Tiwari , Zaghum Umar , Faisal Alqahtani

This study examines the presence of long-run dependence in a variety of crude and refined energy spot markets during the 1986–2018 period using the time-varying generalised Hurst exponent. Our results indicate that the weak-form efficiency in energy spot markets is clearly time-varying, with USGC(U.S. Gulf Coast Conventional Gasoline) Diesel Fuel the most efficient and Propane the least. An important finding is that after the subprime crisis, the persistence of energy spot market products has increased. Overall, our finding highlights that the time-varying model is preferable to the time-constant one since the former can capture time-varying efficiency, which heavily depends on a country’s predominant economic and political conditions.



中文翻译:

原油和石油产品中长时间记忆的存在:广义Hurst指数方法

这项研究使用时变的广义Hurst指数研究了1986-2018年期间各种原油和精炼能源现货市场中长期依赖的存在。我们的结果表明,能源现货市场上的弱形式效率显然是随时间变化的,其中USGC(美国墨西哥湾沿岸常规汽油)柴油燃料效率最高,丙烷最低。一个重要发现是,在次贷危机爆发后,能源现货市场产品的持久性有所提高。总体而言,我们的发现表明,时变模型优于时变模型,因为前者可以捕获时变效率,而后者很大程度上取决于一个国家的主要经济和政治条件。

更新日期:2021-04-04
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