Modeling and forecasting Tapis crude oil price: A long memory approach

2019 ◽  
Author(s):  
Rosmanjawati Abdul Rahman ◽  
Sanusi Alhaji Jibrin
Keyword(s):  
Crude Oil ◽  
Long Memory ◽  
Oil Price ◽  
Crude Oil Price ◽  
Modeling And Forecasting

scholarly journals Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price

2016 ◽  
Vol 8 (4) ◽  
pp. 387 ◽  
Author(s):  
Kaijian He ◽  
Rui Zha ◽  
Jun Wu ◽  
Kin Lai
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
Modeling And Forecasting

Detection of volatility regime-switching for crude oil price modeling and forecasting

2020 ◽  
Vol 69 ◽  
pp. 101669
Author(s):  
Yue Liu ◽  
Huaping Sun ◽  
Jijian Zhang ◽  
Farhad Taghizadeh-Hesary
Keyword(s):  
Crude Oil ◽  
Regime Switching ◽  
Oil Price ◽  
Crude Oil Price ◽  
Modeling And Forecasting

Volatility spillovers between crude oil price and stock markets: evidence from BRIC countries

2017 ◽  
Vol 12 (2) ◽  
pp. 352-365 ◽  
Author(s):  
Bhaskar Bagchi
Keyword(s):  
Crude Oil ◽  
Long Memory ◽  
Stock Markets ◽  
Stock Price ◽  
Price Volatility ◽  
Oil Price ◽  
Crude Oil Price ◽  
Content Type ◽  
Bric Countries ◽  
Crude Oil Prices

Purpose The purpose of this paper is to examine the dynamic relationship between crude oil price volatility and stock markets in the emerging economies like BRIC (Brazil, Russia, India and China) countries in the context of sharp continuous fall in the crude oil price in recent times. Design/methodology/approach The stock price volatility is partly explained by volatility in crude oil price. The author adopt an Asymmetric Power ARCH (APARCH) model which takes into account long memory behavior, speed of market information, asymmetries and leverage effects. Findings For Bovespa, MICEX, BSE Sensex and crude oil there is an asymmetric response of volatilities to positive and negative shocks and negative correlation exists between returns and volatility indicating that negative information will create greater volatility. However, for Shanghai Composite positive information has greater effect on stock price volatility in comparison to negative information. The study results also suggest the presence long memory behavior and persistent volatility clustering phenomenon amongst crude oil price and stock markets of the BRIC countries. Originality/value The present study makes a number of contributions to the existing literature in the following ways. First, the author have considered crude oil prices up to January 31, 2016, so that the study can reflect the impact of declining trend of crude oil prices on the stock indices which is also regarded as “new oil price shock” to measure the volatility between crude oil price and stock market indices of BRIC countries. Second, the volatility is captured by APARCH model which takes into account long memory behavior, speed of market information, asymmetries and leverage effects.

Impact of crude oil price on the socio-political environment of global countries

2019 ◽  
Vol 118 (3) ◽  
pp. 110-122
Author(s):  
Johnson Clement Madathil ◽  
Velmurugan P. S
Keyword(s):  
Crude Oil ◽  
Descriptive Analysis ◽  
Oil Price ◽  
Policy Framework ◽  
Political Environment ◽  
Policy Reforms ◽  
Crude Oil Price ◽  
Short Term ◽  
Political Impact ◽  
New Energy

Crude oil is known to have an impact on people’s life of both producers and consumers of crude oil countries. A producer country’s socio-political impact will be different from a consumer country’s socio-political impact. This paper aims to show that crude oil price has a socio-political impact on global countries through descriptive analysis. The study found that there were similarities in the movement of crude oil price and change in GDP of both India and United States and further Russia and Venezuela have had crude oil impact on their respective GDP’s, which has made them take policy reforms. The paper identifies changes in the policy framework due to influence of crude oil price and eventual changes in existing socio-political environment. Taking oil producing countries such as Russia and Venezuela as examples, this paper suggests that policy reforms are the key to having a stable socio-political environment. Russia shows us that having a flexible monetary policy can keep the budget dependence on crude oil reduced in the short term. On the other hand, for oil consuming countries, having a stable supply and moving to new energy sources is the key to tackle the influence of crude oil price on the socio-political environment of global countries.

Crude Oil Price Dynamics With Crash Risk Under Fundamental Shocks

2020 ◽  
Author(s):  
Cho-Hoi Hui ◽  
Chi-Fai Lo ◽  
Chi-Hin Cheung ◽  
Andrew Wong
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Crash Risk ◽  
Price Dynamics ◽  
Crude Oil Price
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