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Recent Dynamics of Crude Oil Prices

Recent Dynamics of Crude Oil Prices »

Source: Recent Dynamics of Crude Oil Prices

Volume/Issue: 2006/299

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865592

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-...

Recent Dynamics of Crude Oil Prices

Recent Dynamics of Crude Oil Prices »

Volume/Issue: 2006/299

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865592.001

ISBN: 9781451865592

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-...