Modelling Nonlinear Dynamics of Oil Futures Market
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Date
2017
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Collegium of Economic Analysis at SGH Warsaw School of Economics
Access Rights
info:eu-repo/semantics/openAccess
Abstract
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.
Description
Keywords
Oil Futures, Markow Switching, Regime Switching, Regime Dependence
Journal or Series
Econometric Research in Finance
WoS Q Value
Scopus Q Value
Volume
2
Issue
Citation
Koy, A. (2017) Modelling Nonlinear Dynamics of Oil Futures Market, Econometric Research in Finance, (2017), 2(1) : 23-42
