Event Study of Energy Price Volatility: An Application of Distributional Event Response Model
Berna Karali and
No 170207, 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota from Agricultural and Applied Economics Association
We apply the Distributional Event Response Model (DERM), which is appropriate in studying relatively slowly-evolving information events, to nineteen years of daily crude oil futures returns and volatility to analyze the pattern of market responses to selected events. The results show that all the events considered have statistically significant effects on crude oil futures price volatility. The U.S. invasion of Iraq in 2003 and the bankruptcy filing of Lehman Brothers in 2008 are found to have the largest impacts on both daily returns and volatility. In addition, the location and duration of event windows vary across different event. Generally, the largest volatility response to an event is observed after several months following the event, suggesting that simply using an event-day dummy variable would hinder discovering the actual market responses to slowly-evolving events.
Keywords: Demand and Price Analysis; Institutional and Behavioral Economics (search for similar items in EconPapers)
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Journal Article: Event Study of the Crude Oil Futures Market: A Mixed Event Response Model (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea14:170207
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