Modelling oil price volatility

Narayan, Paresh and Narayan, Seema 2007, Modelling oil price volatility, Energy policy, vol. 35, no. 12, pp. 6549-6553.

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Title Modelling oil price volatility
Author(s) Narayan, Paresh
Narayan, Seema
Journal name Energy policy
Volume number 35
Issue number 12
Start page 6549
End page 6553
Publisher Pergamon - Elsevier Ltd
Place of publication Oxford, England
Publication date 2007-12
ISSN 0301-4215
1873-6777
Keyword(s) volatility
assymetry
shock persistence
Summary In this paper, we examine the volatility of crude oil price using daily data for the period 1991–2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various sub-samples, there is inconsistent evidence of asymmetry and persistence of shocks; and (2) over the full sample period, evidence suggests that shocks have permanent effects, and asymmetric effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2007, Elsevier Ltd
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007777

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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