Crude Oil Prices.
Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of observed...
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Full Text (via ProQuest) |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Washington :
International Monetary Fund,
2008.
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| Series: | IMF Working Papers.
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| Subjects: |
MARC
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| 245 | 1 | 0 | |a Crude Oil Prices. |
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| 505 | 0 | |a I. Introduction; II. Recent Evolution of Oil Prices; Figures; 1. Oil Daily Futures Prices, January 2000-October 2007; Tables; 1. Descriptive Statistics for Oil Price Returns; 2a. Empirical Distribution of Oil Price Returns 2000M1-2003M4; 2b. Empirical Distribution of Oil Price Returns, 2003M5-2007M10; III. Modeling Oil Prices as Levy Process; 3. Oil Price Returns GARCH(1.1) Volatility, January 2000-October 2007; IV. Oil Price Process as Normal Inverse Gaussian Process; V. Estimation of Oil Price Process as a Normal Inverse Gaussian Process. | |
| 505 | 8 | |a 2. Oil Price as Normal Inverse Distribution, Parameterization3. Oil Price as Normal Inverse Distribution, Parameterization; VI. Market Incompleteness and Esscher Transform; VII. Density Forecast of Crude Oil Prices: The Inverse Problem; VIII. Conclusions; References. | |
| 520 | |a Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of observed trends, as market fundamentals and underlying monetary policies were supportive of these trends. Market expectations derived from option prices anticipated further surge in oil prices and allowed significant probability for right tail events. Given explosive trends in other commodities prices, depre. | ||
| 650 | 0 | |a Petroleum products |x Prices |x Forecasting. | |
| 650 | 7 | |a Petroleum products |x Prices |x Forecasting |2 fast | |
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| 830 | 0 | |a IMF Working Papers. | |
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