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Time series analysis of persistence in crude oil price volatility across bull and bear regimes

Listed author(s):
  • Gil-Alana, Luis A.
  • Gupta, Rangan
  • Olubusoye, Olusanya E.
  • Yaya, OlaOluwa S.

This paper deals with the analysis of crude oil prices in the context of fractional integration and using bull and bear phases over monthly periods between September, 1859 to July, 2015. We examine both the log prices series as well as volatility, approximated by means of the absolute and the squared returns. The results for the whole sample indicate that the log-prices are nonstationary, with an order of integration close to 1 or even higher than 1, while the squared and absolute returns show evidence of long memory behavior. Upon separating the sample according to bull and bear periods, we observe an increase in the order of integration in both the log-prices and the two measures of volatility. Our results have important policy implications.

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Article provided by Elsevier in its journal Energy.

Volume (Year): 109 (2016)
Issue (Month): C ()
Pages: 29-37

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Handle: RePEc:eee:energy:v:109:y:2016:i:c:p:29-37
DOI: 10.1016/j.energy.2016.04.082
Contact details of provider: Web page: http://www.journals.elsevier.com/energy

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