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Applied Economics Letters Volume 23, 2016 - Issue 6
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Original Articles

Sources of volatility during four oil price crashes

John BaffesDevelopment Prospects Group, World Bank, Washington, DC, USACorrespondence[email protected]
&
Varun KshirsagarIndependent Consultant
Pages 402-406 | Published online: 12 Sep 2015

References

  • Arezki, R., and O. Blanchard. 2014. “Seven Questions about the Recent Oil Price Slump.” IMF Blog, December 22. Washington, DC: International Monetary Fund.
  • Baffes, J., M. A. Kose, F. Ohnsorge, and M. Stocker. 2015. The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses. Policy Research Note 15/01. Washington, DC: The World Bank.
  • Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31: 307–327. doi:10.1016/0304-4076(86)90063-1.
  • Dobbs, R., J. Oppenheim, and F. Thompson. 2011. “A New Era for Commodities”. McKinsey Quarterly, November 2011.
  • Engle, R. F., and A. J. Patton. 2001. “What Good Is a Volatility Model?” Quantitative Finance 1: 237–245. doi:10.1088/1469-7688/1/2/305.
  • Hansen, P. R., and A. Lunde. 2005. “A Forecast Comparison of Volatility Models: Does Anything Beat A GARCH (1, 1)?” Journal of Applied Econometrics 20: 873–889. doi:10.1002/(ISSN)1099-1255.
  • McNally, R., and M. Levi. 2011. “A Crude Predicament.” Foreign Affairs, July/August 2011.
  • Tsay, R. 2010. Analysis of Financial Time Series. Vol. 543. Hoboken, NJ: John Wiley & Sons.

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