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A study on chaos in crude oil markets before and after 2008 international financial crisis

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  • Lahmiri, Salim

Abstract

The purpose of this study is to investigate existence of chaos in crude oil markets (Brent and WTI) before and after recent 2008 international financial crisis. Largest Lyapunov exponent is estimated for prices, returns, and volatilities. The empirical results show strong evidence that chaos does not exist in prices and returns in both crude oil markets before and after international crisis. However, we find strong evidence of chaotic dynamics in both Brent and WTI volatilities after international financial crisis.

Suggested Citation

  • Lahmiri, Salim, 2017. "A study on chaos in crude oil markets before and after 2008 international financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 389-395.
  • Handle: RePEc:eee:phsmap:v:466:y:2017:i:c:p:389-395
    DOI: 10.1016/j.physa.2016.09.031
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:phsmap:v:490:y:2018:i:c:p:1555-1574 is not listed on IDEAS
    2. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
    3. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 95-107.
    4. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
    5. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Bayesian analysis of chaos: The joint return-volatility dynamical system," MPRA Paper 80632, University Library of Munich, Germany.
    6. repec:eee:phsmap:v:486:y:2017:i:c:p:947-955 is not listed on IDEAS

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