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- W2339540209 abstract "Oil markets, which have an important role on global economy, have always had a fluctuating process. Especially in recent years and global financial crisis period, oil prices were characterized by high volatilities. The aim of this paper is to evaluate the comparative performance of volatility models and to reveal the effects of global financial crisis on volatility by using daily returns of crude oil prices. The results of models highlight that oil prices are best fit by APGARCH and FIAPGARCH models with Skewed Student-t distribution. Furthermore, when considering the global financial crisis, the results show that the crude oil prices are characterized by high volatilities and have long memory effects, as expected." @default.
- W2339540209 created "2016-06-24" @default.
- W2339540209 creator A5031008162 @default.
- W2339540209 date "2016-04-23" @default.
- W2339540209 modified "2023-09-24" @default.
- W2339540209 title "THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY" @default.
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- W2339540209 doi "https://doi.org/10.11611/jmer810" @default.
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