Journal
ENERGY POLICY
Volume 35, Issue 12, Pages 6549-6553Publisher
ELSEVIER SCI LTD
DOI: 10.1016/j.enpol.2007.07.020
Keywords
volatility; asymmetry; shock persistence
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In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various sub-samples, there is inconsistent evidence of asymmetry and persistence of shocks; and (2) over the full sample period, evidence suggests that shocks have permanent effects, and asymmetric effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time. (C) 2007 Elsevier Ltd. All rights reserved.
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