Modelling nonlinear dynamics of oil futures market

• Autorzy: Ayben Koy
• Języki publikacji: EN

Abstrakty

EN

Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study ndings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.(original abstract)

Słowa kluczowe

EN

Oil sector; Independence

PL

Sektor naftowy; Niepodległość

• Czasopismo: Econometric Research in Finance
• Rocznik: 2017
• Tom: 2
• Numer: nr 1
• Strony: 23--42

Twórcy

autor

Ayben Koy

• Istanbul Ticaret University

Bibliografia

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Identyfikatory

DOI

https://doi.org/10.33119/ERFIN.2017.2.1.2