Volatility of Oil Prices /
This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers 'spot' prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteros...
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| Fformat: | Cylchgrawn |
| Iaith: | English |
| Cyhoeddwyd: |
Washington, D.C. :
International Monetary Fund,
1996.
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| Cyfres: | IMF Working Papers; Working Paper ;
No. 1996/082 |
| Mynediad Ar-lein: | Full text available on IMF |
| Crynodeb: | This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers 'spot' prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets. |
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| Disgrifiad o'r Eitem: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Disgrifiad Corfforoll: | 1 online resource (20 pages) |
| Fformat: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Mynediad: | Electronic access restricted to authorized BRAC University faculty, staff and students |