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Regime switching in oil markets

Regime switching in oil markets. Han-Ling Yang 11/30/2010. Outline. Motivation & Introduction to the data Time series plot for the data Proposed methods Reference. Motivation & Introduction to the data. Motivation-

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Regime switching in oil markets

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  1. Regime switching in oil markets Han-Ling Yang 11/30/2010

  2. Outline • Motivation & Introduction to the data • Time series plot for the data • Proposed methods • Reference

  3. Motivation & Introduction to the data • Motivation- • The price of crude oil futures contract has the same volatility in the same market ? • Price volatility Government Shocks Market ……….

  4. Motivation & Introduction to the data • NYM-LIGHT CRUDE OIL • 2001/01/01~2010/11/08 • NYM-MID EAST SOUR CRUDE • 2001/01/01~2001/08/01 • NYM-russian export blend CRUDE OIL(REBCO) • 2008/11/24~2010/11/08 • NYM-EMINI LIGHT SWEET CRUDE • 2004/03/22~2010/11/8

  5. Time series plot for the data

  6. Proposed methods • Cutting • Discussion Section

  7. Reference • Data • National Central University(Department of Finance) • Some internet webpages • Markov Regime Switching Models

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