BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Koy Ayben (Istanbul Ticaret University)
Modelling nonlinear dynamics of oil futures market
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
JEL clasiffication: G10, G15
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 w Warszawie
Pełny tekst
  1. Ang, A. Timmermann, A. (2011). Regime Changes and Financial Markets. Working paper 17182, National Bureau of Economic Research.
  2. Baum, C. and Zerilli, P. (2016). Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility. "Energy Economics", 53(C):175{181.
  3. Bernard, J.-T., Khalaf, L., Kichian, M., McMahon, S. (2015). The Convenience Yield and the Informational Content of the Oil Futures Price. The Energy Journal, 36(2):39{46.
  4. Bildirici, M. E., Aykac Alp, E., Ersin, O. O., Bozoklu, U. (2010). Iktisatta Kullan_lan Do_grusal Olmayan Zaman Serisi Yontemleri.
  5. Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3):265{296.
  6. Breeden, D. T. (1980). Consumption Risk in Futures Markets. "The Journal of Finance",35(2):503{520.
  7. Breeden, D. T. Litzenberger, R. H. (1978). Prices of State-contingent Claims Implicit in Option Prices. "The Journal of Business", 51(4):621{51.
  8. Chevallier, J. (2013). Price relationships in crude oil futures: new evidence from CFTC disaggregated data. "Environmental Economics and Policy Studies", 15(2):133{170.
  9. Dusak, K. (1973). Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums. "Journal of Political Economy", 81(6):1387{1406.
  10. Elder, J., Miao, H., Ramchander, S. (2014). Price discovery in crude oil futures. "Energy Economics", 46(S1):S18{S27.
  11. Fong, W. M. See, K. H. (2002). A Markov switching model of the conditional volatility of crude oil futures prices. "Energy Economics", 24(1):71{95.
  12. Franses, P. H. van Dijk, D. (2000). Non-Linear Time Series Models in Empirical Finance.Cambridge University Press.
  13. Guidolin, M. Timmermann, A. (2006). An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns." Journal of Applied Econometrics",21(1):1{22.
  14. Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. "Econometrica", 57(2):357{384.
  15. Kordnoori, S., Mostafaei, H., Ostadrahimi, M. (2013). Modelling the uctuations of Brent oil prices by a probabilistic Markov chain. "African Journal of Business Management",7(17):1648{1654.
  16. Koy, A. (2017). International Credit Default Swaps Market During European Crisis: A Markov Switching Approach. W: Global Financial Crisis and Its Rami_cations on Capital Markets, pages 431{443. Springer.
  17. Krolzig, H.-M. (2000). Predicting Markov-switching vector autoregressive processes. Department of Economics Working Papers 2000-W31, Nuffeld College, University of Oxford.
  18. Markov, N. (2010). A Regime Switching Model for the European Central Bank. Research Papers by the Institute of Economics and Econometrics 10091, Geneva School of Economics and Management, University of Geneva.
  19. Medhioub, I. (2015). A Markov Switching Three Regime Model of Tunisian Business Cycle."American Journal of Economics", 5(3):394{403.
  20. Perez-Quiros, G. Timmermann, A. (2001). Business cycle asymmetries in stock returns:Evidence from higher order moments and conditional densities. "Journal of Econometrics", 103(1-2):259{306. Studies in estimation and testing.
  21. Rockwell, C. S. et al. (1967). Normal backwardation, forecasting, and the returns to commodity futures traders. Food Research Institute Studies, 7(1967):107{130.
  22. Schwartz, E. Smith, J. E. (2000). Short-Term Variations and Long-Term Dynamics in Commodity Prices. Management Science, 46(7):893{911.
  23. Vo, M. T. (2009). Regime-switching stochastic volatility: Evidence from the crude oil market.Energy Economics, 31(5):779{788.
  24. Working, H. (1949). The theory of price of storage. "The American Economic Review",39(6):1254{1262.
  25. Zhang, Y.-J. Zhang, L. (2015). Interpreting the crude oil price movements: Evidence from the Markov regime switching model." Applied Energy", 143(C):96{109.
  26. Zlatcu, I., Kubinschi, M., Barnea, D. (2015). Fuel Price Volatility and Asymmetric Transmission of Crude Oil Price Changes to Fuel Prices. "Theoretical and Applied Economics", 22(4):33{44.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu