Modelling Nonlinear Dynamics of Oil Futures Market
| dc.contributor.author | Koy, Ayben | |
| dc.date.accessioned | 2019-03-27T07:01:04Z | |
| dc.date.available | 2019-03-27T07:01:04Z | |
| dc.date.issued | 2017 | en_US |
| dc.department | Fakülteler, İşletme Fakültesi, Bankacılık ve Finans Bölümü | en_US |
| dc.description.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. | en_US |
| dc.identifier.citation | Koy, A. (2017) Modelling Nonlinear Dynamics of Oil Futures Market, Econometric Research in Finance, (2017), 2(1) : 23-42 | en_US |
| dc.identifier.endpage | 42 | en_US |
| dc.identifier.startpage | 23 | en_US |
| dc.identifier.uri | http://erfin.org/ | |
| dc.identifier.uri | https://hdl.handle.net/11467/2542 | |
| dc.identifier.volume | 2 | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Collegium of Economic Analysis at SGH Warsaw School of Economics | en_US |
| dc.relation.ispartof | Econometric Research in Finance | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Oil Futures | en_US |
| dc.subject | Markow Switching | en_US |
| dc.subject | Regime Switching | en_US |
| dc.subject | Regime Dependence | en_US |
| dc.title | Modelling Nonlinear Dynamics of Oil Futures Market | en_US |
| dc.type | Article | en_US |
