Modelling Nonlinear Dynamics of Oil Futures Market
Yükleniyor...
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Collegium of Economic Analysis at SGH Warsaw School of Economics
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Oil Futures, Markow Switching, Regime Switching, Regime Dependence
Kaynak
Econometric Research in Finance
WoS Q DeÄŸeri
Scopus Q DeÄŸeri
Cilt
2
Sayı
Künye
Koy, A. (2017) Modelling Nonlinear Dynamics of Oil Futures Market, Econometric Research in Finance, (2017), 2(1) : 23-42
