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Modelling Nonlinear Dynamics of Oil Futures Market

Author

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  • Ayben Koy

    (Istanbul Ticaret University, Department of Banking and Finance)

Abstract

Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study findings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.

Suggested Citation

  • Ayben Koy, 2017. "Modelling Nonlinear Dynamics of Oil Futures Market," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(1), pages 23-42, June.
    • Handle: RePEc:sgh:erfinj:v:2:y:2017:i:1:p:23-42
    DOI: 10.33119/ERFIN.2017.2.1.2
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    References listed on IDEAS

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    2. Chen, Jinyu & Zhu, Xuehong & Zhong, Meirui, 2019. "Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 489-500.

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    More about this item

    Keywords

    oil futures; Markov switching; regime switching; regime dependence;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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