OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
Download full text from publisher
References listed on IDEAS
- Cairns, Robert D. & Calfucura, Enrique, 2012. "OPEC: Market failure or power failure?," Energy Policy, Elsevier, vol. 50(C), pages 570-580.
- Balcilar, Mehmet & Bonato, Matteo & Demirer, Riza & Gupta, Rangan, 2017. "The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 51(C), pages 77-84.
- Brémond, Vincent & Hache, Emmanuel & Mignon, Valérie, 2012.
"Does OPEC still exist as a cartel? An empirical investigation,"
Elsevier, vol. 34(1), pages 125-131.
- Vincent Brémond & Emmanuel Hache & Valérie Mignon, 2011. "Does OPEC still exist as a cartel? An empirical investigation," EconomiX Working Papers 2011-5, University of Paris Nanterre, EconomiX.
- Vincent Brémond & Emmanuel Hache & Valérie Mignon, 2012. "Does OPEC still exist as a cartel? An empirical investigation," Post-Print hal-01385802, HAL.
- Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
- Pindyck, Robert S, 1978. "Gains to Producers from the Cartelization of Exhaustible Resources," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 238-251, May.
- Harvey, Andrew & Sucarrat, Genaro, 2014.
"EGARCH models with fat tails, skewness and leverage,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 320-338.
- Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2015.
"Volatility Jumps and Their Economic Determinants,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 14(1), pages 29-80.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
- Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91. Full references (including those not matched with items on IDEAS)
More about this item
KeywordsOil markets; Volatility; OPEC announcements;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-07-23 (All new papers)
- NEP-ENE-2017-07-23 (Energy Economics)
- NEP-RMG-2017-07-23 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201754. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta). General contact details of provider: http://edirc.repec.org/data/decupza.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.