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Autor
Koy Ayben (Istanbul Ticaret University)
Tytuł
Modelling nonlinear dynamics of oil futures market
Źródło
Econometric Research in Finance, 2017, vol. 2, nr 1, s. 23-42, tab., rys., bibliogr. 26 poz.
Słowa kluczowe
Sektor naftowy, Niepodległość
Oil sector, Independence
Uwagi
JEL clasiffication: G10, G15
summ.
Abstrakt
Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study ndings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.(original abstract)
Dostępne w
Biblioteka Szkoły Głównej Handlowej
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
2451-1935
Język
eng
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