Econometric Modeling of the World Oil Market as a Dynamic Game

Khaled H. Kheiravar and C.-Y. Cynthia Lin Lawell

Chapter 2 in Handbook of Energy Finance:Theories, Practices and Simulations, 2020, pp 35-46 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The decisions made by petroleum producers in the world oil market are both dynamic and strategic, and are thus best modeled as a dynamic game. In this chapter, we review the literature on the world oil market and discuss our research on econometric modeling of the world oil market as a dynamic game. Our research builds on the previous literature by combining three erstwhile separate dimensions of modeling the world oil market: dynamic optimization, game theory, and econometrics. Our results show that dynamic behavior and strategic interactions are important aspects of the world oil market that must be accounted for in empirical analyses of the world oil market.

Keywords: Energy Finance; Financial and Economic Modeling; Volatility; Forecasting; Quantitative Finance; Energy Markets (search for similar items in EconPapers)
JEL-codes: G20 G32 Q40 (search for similar items in EconPapers)
Date: 2020
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