CRUDE OIL PRICE MODELLING WITH LEVY PROCESS
The increased oil prices worldwide are having a great impact on all economicactivities. That’s why research on the dynamic behavior of crude oil prices hasbecome a hot issue in recent years. Especially the recent changes in crude oil pricebehaviour between 2007 and 2009 revived the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Social Sciences Research Society
2012-07-01
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| Series: | International Journal of Economics and Finance Studies |
| Online Access: | http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2012_2/murat_gencer.pdf |
| Summary: | The increased oil prices worldwide are having a great impact on all economicactivities. That’s why research on the dynamic behavior of crude oil prices hasbecome a hot issue in recent years. Especially the recent changes in crude oil pricebehaviour between 2007 and 2009 revived the question about the underlyingdynamics governing crude oil prices. To understand the behavior of the oil marketthere is a need to understand the stochastic models of oil prices. Their dynamicswere characterized by high volatility, high intensity jumps, and strong upwarddrift, indicating that oil markets were constantly out-of-equilibrium. The aim ofthis study is to model oil price returns by Lévy process including the temporal,spectral and distributional properties of the data set. Our findings could be helpfulfor monitoring oil markets and we expect that the analysis presented in this paperis useful for researchers and energy economists interested in predicting crude oilprice and return. |
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| ISSN: | 1309-8055 1309-8055 |