Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/52492 
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dc.contributor.authorGronwald, Marcen
dc.date.accessioned2011-11-25-
dc.date.accessioned2011-12-01T13:04:52Z-
dc.date.available2011-12-01T13:04:52Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3644en
dc.subject.jelC22en
dc.subject.jelQ30en
dc.subject.ddc330en
dc.subject.keywordoil priceen
dc.subject.keywordconditional jumpsen
dc.subject.keywordGARCHen
dc.subject.keywordHotellingen
dc.subject.keywordclimate changeen
dc.subject.keyworddeterministic trenden
dc.titleA characterization of oil price behavior: Evidence from jump models-
dc.typeWorking Paperen
dc.identifier.ppn673105784en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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