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- W2034640069 abstract "ABSTRACT Nine stochastic processes was applied to WTI crude oil prices, following the CKLS model suggested by Chan et al. (1982). In particular, the study period was divided into two parts for representing structural change in the oil price. The estimation results shows that the crude oil price volatilities follow different stochastic processes in two sub-periods. We can conclude that the main characteristics of the crude oil price dynamics do change over time. Thus, considering multiple stochastic processes for long-term analyses of crude oil price series is important. Also, option values were calculated for comparing the effects of contingent claims depends on periods." @default.
- W2034640069 created "2016-06-24" @default.
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- W2034640069 date "2009-06-01" @default.
- W2034640069 modified "2023-09-24" @default.
- W2034640069 title "Crude Oil Price Dynamics Considering Structure Change Using CKLS Stochastic Models" @default.
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- W2034640069 doi "https://doi.org/10.1080/12269328.2009.10541293" @default.
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