Series: IMF Working Papers
Author(s): Noureddine Krichene
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2006
Keywords: Characteristic function, cumulants, drift, Fourier inversion, jump-diffusion, kurtosis, skewness, variance-gamma distribution, volatility, oil markets
Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-...