Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 466, Issue -, Pages 389-395Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2016.09.031
Keywords
Crude oil market; Chaos; Lyapunov exponent; International financial crisis
Categories
Ask authors/readers for more resources
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. Largeft 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. (C) 2016 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available