Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/52492
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dc.contributor.authorGronwald, Marcen_US
dc.date.accessioned2011-11-25en_US
dc.date.accessioned2011-12-01T13:04:52Z-
dc.date.available2011-12-01T13:04:52Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/52492-
dc.description.abstractThis paper is concerned with the statistical behavior of oil prices in two ways. It, firstly, applies a combined jump GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by sudden extreme price movements. This finding implies that, first, oil price signals are not reliable and, as a consequence, both finding optimal extraction paths and decisions regarding the transmission to alternative technologies are likely to be compromised. Second, this behavior is in stark contrast to the notion of deterministic trends in the price of oil.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper: Energy and Climate Economics |x3644en_US
dc.subject.jelC22en_US
dc.subject.jelQ30en_US
dc.subject.ddc330en_US
dc.subject.keywordoil priceen_US
dc.subject.keywordconditional jumpsen_US
dc.subject.keywordGARCHen_US
dc.subject.keywordHotellingen_US
dc.subject.keywordclimate changeen_US
dc.subject.keyworddeterministic trenden_US
dc.titleA characterization of oil price behavior: Evidence from jump modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn673105784en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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