| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7405358 | Energy Policy | 2013 | 9 Pages |
Abstract
⺠We analyze oil price volatility using NP (2010) and LN (2010) tests. ⺠We modify the LN (2010) to account for leverage effects in oil price. ⺠We find two structural breaks that reflect major global crisis in the oil market. ⺠We find evidence of persistence and leverage effects in oil price volatility. ⺠Leverage effects and structural breaks are fundamental in oil price modelling.
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Afees A. Salisu, Ismail O. Fasanya,