Verfügbarkeit: Volatility of Oil Prices

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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1. Verfasser:	Wickham, Peter (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 1996
Schriftenreihe:	IMF Working Papers Working Paper No. 96/82
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (20 p)
ISBN:	1451954727 9781451954722

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spelling	Wickham, Peter Verfasser aut Volatility of Oil Prices Wickham, Peter Washington, D.C International Monetary Fund 1996 1 Online-Ressource (20 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 96/82 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 Online-Ausg http://elibrary.imf.org/view/IMF001/07837-9781451954722/07837-9781451954722/07837-9781451954722.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Wickham, Peter Volatility of Oil Prices
title	Volatility of Oil Prices
title_auth	Volatility of Oil Prices
title_exact_search	Volatility of Oil Prices
title_exact_search_txtP	Volatility of Oil Prices
title_full	Volatility of Oil Prices Wickham, Peter
title_fullStr	Volatility of Oil Prices Wickham, Peter
title_full_unstemmed	Volatility of Oil Prices Wickham, Peter
title_short	Volatility of Oil Prices
title_sort	volatility of oil prices
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