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THE ROLE OF TIME-VARYING ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHANGES IN THE CRUDE OIL MARKET

There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the... Full description

1st Person: BAUMEISTER, CHRISTIANE
Additional Persons: PEERSMAN, GERT
Source: in Journal of Applied Econometrics Vol. 28, No. 7 (2013), p. 1087-1109
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Type of Publication: Article
Language: English
Published: 2013
Online: Volltext
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