Are Oil Prices Mean Reverting? Evidence from Unit Root Tests with Sharp and Smooth Breaks
<p>This study examined the validity of efficiency market hypothesis for the oil market by employing a novel Fourier unit root test that accounts for sharp shifts and smooth breaks based on daily data. Our results established the existence of structural shifts and nonlinearity in the oil market...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2018-10-01
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| Series: | International Journal of Energy Economics and Policy |
| Online Access: | https://www.econjournals.com/index.php/ijeep/article/view/6980 |