کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
995361 | 936183 | 2007 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modelling oil price volatility
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
مهندسی انرژی و فناوری های برق
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we examine the volatility of crude oil price using daily data for the period 1991–2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various sub-samples, there is inconsistent evidence of asymmetry and persistence of shocks; and (2) over the full sample period, evidence suggests that shocks have permanent effects, and asymmetric effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Policy - Volume 35, Issue 12, December 2007, Pages 6549–6553
Journal: Energy Policy - Volume 35, Issue 12, December 2007, Pages 6549–6553
نویسندگان
Paresh Kumar Narayan, Seema Narayan,