Modelling Nonlinear Dynamics of Oil Futures Market

dc.contributor.authorKoy, Ayben
dc.date.accessioned2019-03-27T07:01:04Z
dc.date.available2019-03-27T07:01:04Z
dc.date.issued2017en_US
dc.departmentFakülteler, İşletme Fakültesi, Bankacılık ve Finans Bölümüen_US
dc.description.abstractDue 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.en_US
dc.identifier.citationKoy, A. (2017) Modelling Nonlinear Dynamics of Oil Futures Market, Econometric Research in Finance, (2017), 2(1) : 23-42en_US
dc.identifier.endpage42en_US
dc.identifier.startpage23en_US
dc.identifier.urihttp://erfin.org/
dc.identifier.urihttps://hdl.handle.net/11467/2542
dc.identifier.volume2en_US
dc.language.isoenen_US
dc.publisherCollegium of Economic Analysis at SGH Warsaw School of Economicsen_US
dc.relation.ispartofEconometric Research in Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectOil Futuresen_US
dc.subjectMarkow Switchingen_US
dc.subjectRegime Switchingen_US
dc.subjectRegime Dependenceen_US
dc.titleModelling Nonlinear Dynamics of Oil Futures Marketen_US
dc.typeArticleen_US

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