The oil stock fluctuations in the United States

Hayat, Aziz and Narayan, Paresh 2010, The oil stock fluctuations in the United States, Applied energy, vol. 87, no. 1, pp. 178-184, doi: 10.1016/j.apenergy.2009.07.010.

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Title The oil stock fluctuations in the United States
Author(s) Hayat, AzizORCID iD for Hayat, Aziz
Narayan, PareshORCID iD for Narayan, Paresh
Journal name Applied energy
Volume number 87
Issue number 1
Start page 178
End page 184
Total pages 7
Publisher Elsevier Ltd.
Place of publication Amsterdam, The Netherlands
Publication date 2010-01
ISSN 0306-2619
Keyword(s) crude oil volatility
unit root
Summary The goal of this paper is to examine whether the volatility of the growth in the US oil stocks has changed overtime, and if it has then whether or not this change is real. We find that the growth in volatility of oil stocks has declined overtime. We conduct a Monte Carlo simulation exercise to investigate whether this decline is real or an artefact of the growth definition. Our findings support the fact that the decline in growth volatility of oil stocks is an artefact of the growth definition. This is because a data generating process having a unit root with drift has a tendency to grow and thereby pulls the variance of growth down with time.
Language eng
DOI 10.1016/j.apenergy.2009.07.010
Field of Research 140205 Environment and Resource Economics
Socio Economic Objective 859999 Energy not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2009, Elsevier Ltd.
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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