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- W2551017993 abstract "A weekly event which is frequently blamed for oil price movements is the moment when the US Energy Information Administration publishes its report on ending stocks of crude oil and petroleum products for the previous week. The data, usually released on Wednesdays, are awaited by market analysts as well as by investors, who compare them to some consensus forecast and draw conclusions on current supply and demand fundamentals. The purpose of our study is to investigate the role of weekly inventory data releases as determinants of expectation and volatility of daily crude price changes. While an ARIMA model provides us with a forcast of inventories levels, the residuals of this model render the markets’ perception of deviation, which can be classied according to magnitude and sign. We study the residuals’ impact on expectation and volatility of oil price changes on the basis of a combination of regression and GARCH models. Among our ndings is that an unexpected rise in US crude oil stocks boosts volatility" @default.
- W2551017993 created "2016-11-30" @default.
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- W2551017993 date "2010-01-01" @default.
- W2551017993 modified "2023-09-26" @default.
- W2551017993 title "EFFECTS OF WEEKLY INVENTORY DATA RELEASES ON CRUDE OIL SPOT PRICES" @default.
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