Long Memory Versus Structural Changes in the Dynamics of Europe Brent-Oil Prices
| المصدر: | المجلة العربية للإدارة |
|---|---|
| الناشر: | المنظمة العربية للتنمية الإدارية |
| المؤلف الرئيسي: | Lamouchi, Rim Ammar (Author) |
| مؤلفين آخرين: | Alawi, Suha Mahmoud (Co-Author) |
| المجلد/العدد: | مج41, ع3 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2021
|
| الشهر: | سبتمبر |
| الصفحات: | 415 - 424 |
| DOI: |
10.21608/AJA.2021.190129 |
| ISSN: |
1110-5453 |
| رقم MD: | 1178413 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Volatility | Fractional Integration | Long Memory Process | Spurious Long Memory | Structural Breakss
|
| رابط المحتوى: |
عدد مرات التحميل
3
| LEADER | 01990nam a22002417a 4500 | ||
|---|---|---|---|
| 001 | 1923221 | ||
| 024 | |3 10.21608/AJA.2021.190129 | ||
| 041 | |a eng | ||
| 044 | |b مصر | ||
| 100 | |9 631124 |a Lamouchi, Rim Ammar |e Author | ||
| 245 | |a Long Memory Versus Structural Changes in the Dynamics of Europe Brent-Oil Prices | ||
| 260 | |b المنظمة العربية للتنمية الإدارية |c 2021 |g سبتمبر | ||
| 300 | |a 415 - 424 | ||
| 336 | |a بحوث ومقالات |b Article | ||
| 520 | |b In this paper, we examine the potential of long memory and structural breaks properties in the Brent returns and the Brent volatility series. We analyze the series over the period 20/05/1987-22/01/2016, using long memory tests, we demonstrate strong evidence of long-range dependence in the daily return and volatility of oil prices. From structural breaks tests, we find two structural breaks that appear in 1991 and 2008 which coincides, respectively, with the Gulf war and the global financial crisis. We use the Perron and Qu (2010) test in order to discriminate the long memory from the spurious long memory in presence of structural break, the results show strong evidence in favor of long memory. Long memory plays a crucial role in describing the oil price dynamics and we can also confirm that despite the persistence of shocks, the evolution of series is predetermined by a long memory process. | ||
| 653 | |a أسعار البترول |a خام برنت |a أوروبا | ||
| 692 | |b Volatility |b Fractional Integration |b Long Memory Process |b Spurious Long Memory |b Structural Breakss | ||
| 773 | |4 الإدارة |6 Management |c 022 |e Arab Journal of Administration |f Al-Mağallah Al-ʿArabiyyaẗ Lil-Īdārah |l 003 |m مج41, ع3 |o 0345 |s المجلة العربية للإدارة |v 041 |x 1110-5453 | ||
| 700 | |9 631128 |a Alawi, Suha Mahmoud |e Co-Author | ||
| 856 | |u 0345-041-003-022.pdf |n https://aja.journals.ekb.eg/article_190129.html | ||
| 930 | |d y |p y |q n | ||
| 995 | |a EcoLink | ||
| 999 | |c 1178413 |d 1178413 | ||
عناصر مشابهة
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Prices of crude oil in the Arabian Gulf
بواسطة: El Kuwaiz, Abd Allah منشور: (1972) -
Structural Changes and the Relationship between Stock and Oil Prices in Saudi Arabia
بواسطة: بانافع، وحيد بن عبدالرحمن منشور: (2021) -
An oil agenda for Europe
بواسطة: ميتشل، جون منشور: (1995) -
CHANGING OIL PRICES NON-PRIC RATIONING AND THE DEMAND FOR TOTAL IMPORTS IN KUWAIT
بواسطة: El Samadisy, El Sayed Mousa منشور: (1996) -
Fractional Integrated Time Series Models for Forecasting Crude Oil Prices
بواسطة: Al-Khabori, Abir Bilal Khamis منشور: (2017)
