کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5065458 1372317 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Jump dynamics with structural breaks for crude oil prices
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
Jump dynamics with structural breaks for crude oil prices
چکیده انگلیسی

This study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices. We adopt a Component-ARJI model with structural break analysis, utilizing daily data on West Texas Intermediate crude oil spot and futures contracts. The analytical results verify the existence of permanent and transitory components in conditional variance, with the permanent component of conditional variance increasing with the occurrence of a sudden major event (such as the Iraqi Invasion of Kuwait, Operation Desert Storm and the war between the US and Iraq), and a relatively greater increase in the transitory component over the same period. Notably, jump intensity fluctuates with an increase in the transitory component of conditional variance in response to abnormal events. It is the transitory component which serves as the primary influential factor for jumps in returns; therefore, speculators are willing to take large risks, particularly with respect to anticipating future price movements, or gambling, in the hopes of rapidly making substantial gains; thus, speculators prefer the temporary volatility component and engage in trade activities. However, investors prefer the permanent volatility component, because they may well be better off relocating their assets into more stable portfolios to outperform the market portfolio over the long run.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 32, Issue 2, March 2010, Pages 343-350
نویسندگان
, , ,