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dc.contributor.authorSu, JJ
dc.contributor.authorCheung, AK
dc.contributor.authorRoca, E
dc.date.accessioned2017-06-08T05:50:23Z
dc.date.available2017-06-08T05:50:23Z
dc.date.issued2017
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2016.1248356
dc.identifier.urihttp://hdl.handle.net/10072/339096
dc.description.abstractWe 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.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.relation.ispartofpagefrom2817
dc.relation.ispartofpageto2828
dc.relation.ispartofissue29
dc.relation.ispartofjournalApplied Economics
dc.relation.ispartofvolume49
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3802
dc.titleQuantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2017 Taylor & Francis (Routledge). This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 23 Nov 2016, available online: http://www.tandfonline.com/doi/full/10.1080/00036846.2016.1248356
gro.hasfulltextFull Text
gro.griffith.authorSu, Jen-Je


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