Alvarez-Ramirez, J.; Alvarez, J.; Rodríguez, E. - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 330-341
This work studies long-term autocorrelation asymmetries in the dynamics of crude oil markets for prices in the period from 1986 to 2014. Autocorrelations in crude oil price returns are quantified in terms of the Hurst exponent estimated with the rescaled range (R/S) method. The results obtained...