Modelling oil price volatility

By Paresh Kumar Narayan, Seema W. Narayan. 2007

290 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/60ebc594708718f291513fbddc0ba41be51cd09f

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In Economics and Econometrics

Citations in the corpus

Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “Narayan and Narayan (2007) model oil price volatility and find that oil price performance in the daily data changes over short periods of time.”
Uncertainty and crude oil market volatility: new evidence (2020, background): “…for preventing and defusing energy risks, improving energy security level, promoting the upgrading of energy consumption structure, and maintaining the healthy development of the capital market (Narayan and Narayan 2007; Wei, Wang, and Huang 2010; Dutta 2018; Ma et al. 2018; Wang et al. 2018).”
Hourly Oil Price Volatility: The Role of COVID-19 (2020, unknown): “…on crude oil price volatility occupies significant interests in both energy economics and financial economics (see, inter alia, Narayan & Narayan, 2007; Salisu & Fasanya, 2013).1 In energy economics, one research topic has been oil price and its volatility forecasting (see…”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, methodology): “As far as volatility modeling of oil and stock markets is concerned, GARCH-type models have received a particular interest from almost all previous papers (e.g., Narayan and Narayan, 2007; Kang et al., 2009; Oberndorfer, 2009; Choi and Hammoudeh, 2010).”
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, methodology): “For instance, Narayan and Narayan (2007) use an ARCH/GARCH framework to examine the conditional volatility of crude oil price using daily data for the period 1991-2006 and find that price shocks have asymmetric and permanent effects on volatility.”