• English
    • español
  • español 
    • English
    • español
  • Login
Ver ítem 
  •   DSpace Principal
  • 2.- Investigación
  • Documentos de Trabajo
  • Ver ítem
  •   DSpace Principal
  • 2.- Investigación
  • Documentos de Trabajo
  • Ver ítem
JavaScript is disabled for your browser. Some features of this site may not work without it.

Mild explosivity in recent crude oil prices

Thumbnail
Ver/
ESSEC_final.pdf (1.393Mb)
Autor
Figuerola Ferretti Garrigues, Isabel Catalina
McCrorie, Roderick
Paraskevopoulos, Ioannis
Estado
info:eu-repo/semantics/draft
Metadatos
Mostrar el registro completo del ítem
Mostrar METS del ítem
Ver registro en CKH

Refworks Export

Resumen
burbujas en el precio del petróleo
 
This paper uses the recent technology developed by Phillips, Shi and Yu (2015, International Economic Review) to test for bubble behavior in WTI crude oil front month futures prices over the last decade. Our sample encompasses both the pre-crisis period, in which there was a substantial run-up in crude oil prices, and the recent period in which prices have fallen significantly. Results using the raw series suggest there were two bubbles, a positive bubble in 2008 and a negative bubble from November 2014 to January 2015. The PSY test, however, makes the assumption of constant volatility across regimes. Here, to adjust for this, we apply the test to the raw series deflated by CBOE crude oil VIX volatility, and show there no evidence to support bubble behavior in the deflated series. Our results suggest that when we account for forward looking option market volatility, there is no evidence to suggest there were bubbles in crude oil contrary to popular belief.
 
URI
http://hdl.handle.net/11531/6982
Mild explosivity in recent crude oil prices
Palabras Clave
petróleo crudo, commodities, mercados de futuros, Oil VIX, VIX, burbujas financieras
crude oil futures, OVX, VIX, mild explosivity, fundamentals
Colecciones
  • Documentos de Trabajo

Repositorio de la Universidad Pontificia Comillas copyright © 2015  Desarrollado con DSpace Software
Contacto | Sugerencias
 

 

Búsqueda semántica (CKH Explorer)


Listar

Todo DSpaceComunidades & ColeccionesPor fecha de publicaciónAutoresTítulosMateriasPor DirectorPor tipoEsta colecciónPor fecha de publicaciónAutoresTítulosMateriasPor DirectorPor tipo

Mi cuenta

AccederRegistro

Repositorio de la Universidad Pontificia Comillas copyright © 2015  Desarrollado con DSpace Software
Contacto | Sugerencias