Markov switching autoregressive model for WTI crude oil price

In this study, we aimed to test the nonlinear structure of crude oil prices with Markov Regime Switching Autoregressive Models. In the study of weekly prices covering the period from May 06, 1990 to April 11, 2018, a two-regime Markov switching model was applied. In the case of two regimes, we prove...

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Veröffentlicht in:	Ekoist journal of econometrics and statistics 2018-06, Vol.22 (28), p.45-56
Hauptverfasser:	Çil,Nilgün, Yılmaz,Çiğdem
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Crude oil Crude oil prices Econometrics Economic activity Economic conditions Energy industry Gasoline İstatistik Markov analysis Markov chains Monte Carlo simulation Securities markets Stock exchanges Switching Time series Unemployment Volatility
Online-Zugang:	Volltext
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