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THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY

Year 2016, Volume: 14 Issue: 2, 64 - 76, 23.04.2016

Mert Ural

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.

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Year 2016, Volume: 14 Issue: 2, 64 - 76, 23.04.2016

Mert Ural

Abstract

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Details

Primary Language Turkish
Journal Section Articles
Authors

Mert Ural

Publication Date April 23, 2016
Published in Issue Year 2016 Volume: 14 Issue: 2

Cite

APA Ural, M. (2016). THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research, 14(2), 64-76. https://doi.org/10.11611/JMER810
AMA Ural M. THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research. April 2016;14(2):64-76. doi:10.11611/JMER810
Chicago Ural, Mert. “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”. Journal of Management and Economics Research 14, no. 2 (April 2016): 64-76. https://doi.org/10.11611/JMER810.
EndNote Ural M (April 1, 2016) THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research 14 2 64–76.
IEEE M. Ural, “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”, Journal of Management and Economics Research, vol. 14, no. 2, pp. 64–76, 2016, doi: 10.11611/JMER810.
ISNAD Ural, Mert. “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”. Journal of Management and Economics Research 14/2 (April 2016), 64-76. https://doi.org/10.11611/JMER810.
JAMA Ural M. THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research. 2016;14:64–76.
MLA Ural, Mert. “THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY”. Journal of Management and Economics Research, vol. 14, no. 2, 2016, pp. 64-76, doi:10.11611/JMER810.
Vancouver Ural M. THE IMPACT OF THE GLOBAL FINANCIAL CRISIS ON CRUDE OIL PRICE VOLATILITY. Journal of Management and Economics Research. 2016;14(2):64-76.