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Financial Crisis Effects on Oil Price (ICSS Algorithms and GARCH Approach)
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Saleh Ghavidel *   1, Marie Hosieni |
| 1- , salleh-mogh@yahoo.com |
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Abstract: (5800 Views) |
This paper investigates the financial crises effects on price in oil market. We use data of West Texas Intermediate, OPEC basket, Iranian crude oil heavy and Iranian crude oil light price during 1 July 2000 to 11 April 2011 in weekly format. The approach in this paper is GARCH model and we use ICSS Algorithms for identify breakpoints for financial crisis. The resolute show that the financial crisis has effects on volatility change in three kind of oil price, West Texas Intermediate, OPEC basket, Iranian crude oil light. The financial crisis in 2008 reduced variance stability of return oil price. |
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| Keywords: Oil price, financial crisis, GARCH, ICSS |
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Full-Text [PDF 870 kb]
(1749 Downloads)
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Type of Study: paper |
Subject:
Oil-Market
Received: 2013/10/4 | Accepted: 2014/09/6 | Published: 2015/11/7 | ePublished: 2015/11/7
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