Long run dynamic volatilities between OPEC and non-OPEC crude oil prices
نویسندگان
چکیده
منابع مشابه
OPEC announcements and their effects on crude oil prices
We investigate evidence on the effects of OPEC announcements on world oil prices by examining announcements from both official conferences and ministerial meetings on major international crudes, including the key benchmarks and several other heavy and light grades. With data from 1982 to 2008, we use event study methodology and find differentiation in the magnitude and significance of market re...
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This is an on-line appendix with more details and analysis for the readers of the paper. B.1 Derivation for the A i 's, risk-free rate and market price of risk First, we rewrite the normalized aggregator f defined in Equation (5) as f (C, J) = β 1 − 1 ψ (1 − γ)J[G − 1], where G ≡ (C ((1 − γ)J) 1 1−γ) 1− 1 ψ. (B1) Then, taking partial derivatives of f (C, J) with respect to J and C , we have f J...
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ژورنال
عنوان ژورنال: Applied Energy
سال: 2016
ISSN: 0306-2619
DOI: 10.1016/j.apenergy.2016.02.057