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dc.contributor.authorCheung, Adrian
dc.contributor.authorSu, J.
dc.contributor.authorRoca, E.
dc.date.accessioned2017-07-27T05:22:55Z
dc.date.available2017-07-27T05:22:55Z
dc.date.created2017-07-26T11:11:09Z
dc.date.issued2016
dc.identifier.citationCheung, A. and Su, J. and Roca, E. 2016. Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping. Applied Economics. 49 (29): pp. 2817-2828.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/54982
dc.identifier.doi10.1080/00036846.2016.1248356
dc.description.abstract

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.

dc.publisherRoutledge
dc.titleQuantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
dc.typeJournal Article
dcterms.source.volume49
dcterms.source.number29
dcterms.source.startPage2817
dcterms.source.endPage2828
dcterms.source.issn0003-6846
dcterms.source.titleApplied Economics
curtin.note

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

curtin.departmentDepartment of Finance and Banking
curtin.accessStatusOpen access


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