Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
MetadataShow full item record
We examine the quantile serial dependence in crude oil prices based on the Linton and Whang’s quantile-based portmanteau test which we improved by means of quantile wild bootstrapping (QWB). Through Monte Carlo simulation, we find that the quantile wild bootstrap-based portmanteau test performs better than the bound testing procedure suggested by Linton and Whang. We apply the improved test to examine the efficiency of two crude oil markets – WTI and Brent. We also examine if the dependence is stable via rolling sample tests. Our results show that both WTI and Brent are serially dependent in all, except the median quantiles. These findings suggest that it may be misleading to examine the efficiency of crude oil markets in terms of mean (or median) returns only. These crude oil markets are relatively more serially dependent in non-median ranges.
This is an Author's Original Manuscript of an article published by Taylor & Francis in Applied Economics on 23/11/2016 available online at http://www.tandfonline.com/10.1080/00036846.2016.1248356
Showing items related by title, author, creator and subject.
The Impact of Serial Correlation on Testing For Structural Change in Binary Choice Model: Monte Carlo EvidenceChan, Felix; Pauwels, L.; Wongsosaputro, J. (2013)This paper examines the finite sample properties of structural change tests with an unknown breakpoint for the probit model in the presence of serial correlation. The combination of structural change and serial correlation ...
Chan, Felix; Mancini-Griffoli, T.; Pauwels, L. (2007)This paper introduces a new test for structural instability among only some individuals at the end of a sample in a panel regression model. Most tests for structural breaks in the literature are appropriate when the break ...
Gurrib, Muhammad Ikhlaas (2008)This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...