The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts

The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts

By analyzing futures contracts, this paper examines the volatility of West Texas Intermediate (WTI) crude oil and refined product prices (short, medium and long-term) before and after the financial crisis of 2008. Daily historical data from January 2000 to June 2008 (pre-crisis period) and from May,...

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Autores principales: Azevedo,Thaís C, Aiube,Fernando. L, Samanez,Carlos.P, Bisso,Claudio S, Costa,Leticia A
Lenguaje:English
Publicado: Universidad de Tarapacá. 2015
Materias:
Volatility modeling
crude oil prices
GARCH models
persistence of shocks
Acceso en línea:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-33052015000300008
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