Similar Search Results

A characterization of oil price behavior — Evidence from jump models

Gronwald, Marc - In: Energy Economics 34 (2012) 5, pp. 1310-1317

GARCH model in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …

Persistent link: https://www.econbiz.de/10011039520

A Characterization of Oil Price Behavior - Evidence from Jump Models

Gronwald, Marc - CESifo - 2011

GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …

Persistent link: https://www.econbiz.de/10009371347

Jumps in Oil Prices - Evidence and Implications

Gronwald, Marc - 2009

This paper studies the dynamic behavior of daily oil prices and finds strong evidenceof GARCH as well as conditional …

Persistent link: https://www.econbiz.de/10010312132

Jumps in Oil Prices- Evidence and Implications

Gronwald, Marc - ifo Leibniz-Institut für Wirtschaftsforschung an der … - 2009

This paper studies the dynamic behavior of daily oil prices and finds strong evidenceof GARCH as well as conditional …

Persistent link: https://www.econbiz.de/10005046811

A characterization of oil price behavior : evidence from jump models

Gronwald, Marc - In: Energy economics 34 (2012) 5, pp. 1310-1317

Persistent link: https://www.econbiz.de/10009688098

A characterization of oil price behavior : evidence from jump models

Gronwald, Marc - 2011

; conditional jumps ; GARCH ; Hotelling ; climate change ; deterministic trend … GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are …

Persistent link: https://www.econbiz.de/10009377786

Nexus of Oil Price Pass-Through and Exchange Rate : Evidence from US and China

Zhang, Xiaoyu - 2019

Due to technological innovation and energy consumption growth in recent years, US and China become increasingly important players in the world crude oil market and are growingly exposed to not only supply and demand shocks but also foreign exchange risks. To better understand the nexus of crude...

Persistent link: https://www.econbiz.de/10012866878

A Characterization of Oil Price Behavior - Evidence from Jump Models

Gronwald, Marc - 2021

Persistent link: https://www.econbiz.de/10013315950

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017

Modelling the oil price –exchange rate nexus for South Africa

Fowowe, Babajide - In: Economie Internationale (2014) 140, pp. 36-48

model the volatility and jumps in exchange rate returns by using the GARCH autoregressive conditional jump intensity model …

Persistent link: https://www.econbiz.de/10011082285