OPEC news announcements: Effects on oil price expectation and volatility
AbstractSeveral times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of our investigation is to assess the impact of OPEC announcements on expectation and volatility of daily oil price changes (returns).
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 34 (2012)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/locate/eneco
Crude oil price volatility; GARCH; Covariates; Modified dummy variables; OPEC announcements; WTI crude oil;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
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