Hilchos Chanukah - Laws of Chanukah
If olive oil is not available, use any oil that burns with a clear and pure flame. Wax candles are acceptable as well since their flame is clear and pure like olive oil.
--Shulchan Aruch 673:1

The best way to perform this Mitzvah is with wicks made of cotton or linen.

--Shulchan Aruch 673:2, Mishna Berurah