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.
- 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 .