Volatility persistence in crude oil markets
نویسندگان
چکیده
منابع مشابه
Forecasting Crude Oil Price Volatility
We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...
متن کاملVolatility, persistence, and survival in financial markets.
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empiri...
متن کاملVolatility in Natural Gas and Oil Markets
I use daily futures price data to examine the behavior of natural gas and crude oil price volatility in the U.S. since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shock...
متن کاملSources of the Volatility Puzzle in the Crude Oil Market
A remarkable feature of the crude oil market is a dramatic rise in oil price volatility over time which has been accompanied by a substantial fall in oil production volatility. We investigate the sources of this opposite evolution of both oil market variables. Our main nding is that the observed volatility puzzle can be rationalized by the fact that the price elasticities of both oil supply an...
متن کاملCrude Oil Spot Price Forecasting Based on Multiple Crude Oil Markets and Timeframes
This study proposes a multiple kernel learning (MKL)-based regression model for crude oil spot price forecasting and trading. We used a well-known trend-following technical analysis indicator, the moving average convergence and divergence (MACD) indicator, for extracting features from original spot prices. Additionally, we factored in the possibility that movements of target crude oil prices ma...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Energy Policy
سال: 2014
ISSN: 0301-4215
DOI: 10.1016/j.enpol.2013.10.042