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• W2153489002 abstract "In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility." @default.
• W2153489002 created "2016-06-24" @default.
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• W2153489002 date "2013-01-01" @default.
• W2153489002 modified "2023-10-06" @default.
• W2153489002 title "Modelling oil price volatility with structural breaks" @default.
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• W2153489002 doi "https://doi.org/10.1016/j.enpol.2012.10.003" @default.
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