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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.

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  • 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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