Oil price uncertainty /

Oil price uncertainty /

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Bibliographic Details
Author / Creator:Serletis, Apostolos.
Imprint:Singapore ; Hackensack, NJ : World Scientific, c2012.
Description:xii, 142 p. : ill. ; 24 cm
Language:English
Subject:
Petroleum products -- Prices.
Petroleum industry and trade -- Econometric models.
Petroleum reserves.
Macroeconomics.
Macroeconomics.
Petroleum industry and trade -- Econometric models.
Petroleum products -- Prices.
Petroleum reserves.
Format: Print Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/9129388
Hidden Bibliographic Details
ISBN:9789814390675
9814390674
Notes:Includes bibliographical references and indexes.
Table of Contents:
  • Preface
  • 1. Introduction
  • 1.1. Transmission Mechanisms
  • 1.1.1. The income transfer channel
  • 1.1.2. The reallocation channel
  • 1.1.3. The monetary policy response channel
  • 1.1.4. The uncertainty channel
  • 1.2. Testing for Nonlinearity
  • 1.3. Nonlinearity versus Asymmetry
  • 1.4. Modeling Uncertainty
  • 1.4.1. Historical volatility
  • 1.4.2. Stochastic volatility
  • 1.4.3. Implied volatility
  • 1.4.4. Conditional volatility
  • 1.5. Tests of the Uncertainty Effect
  • 1.6. Scope and Strategy
  • 2. Univariate Volatility Models
  • 2.1. Introduction
  • 2.2. ARCH and Related Models
  • 2.2.1. The ARCH Model
  • 2.2.2. The GARCH Model
  • 2.2.3. The Exponential GARCH Model
  • 2.2.4. The Integrated GARCH Model
  • 2.2.5. The Threshold GARCH Model
  • 2.2.6. The Power ARCH Model
  • 2.3. The GARCH-in-Mean Model
  • 2.4. Estimation
  • 2.5. Fat-Tailed Distributions
  • 2.6. Conclusion
  • 3. Multivariate Volatility Models
  • 3.1. Introduction
  • 3.2. The VECH Model
  • 3.3. The Diagonal VECH Model
  • 3.4. The BEKK Model
  • 3.5. Restricted Correlation Models
  • 3.6. Asymmetry
  • 3.7. The Multivariate GARCH-in-Mean Model
  • 3.8. VARMA GARCH-in-Mean Models
  • 3.9. Estimation
  • 3.10. Summary and Conclusions
  • 4. Oil Price Uncertainty
  • 4.1. Introduction
  • 4.2. The Empirical Model
  • 4.3. Data and Identification
  • 4.4. Empirical Evidence
  • 4.5. Robustness
  • 4.5.1. Alternative Measures of Oil Prices and Economic Activity
  • 4.5.2. The 1986 Tax Reform Act and Investment Aggregation Issues
  • 4.6. Conclusion
  • 5. The Asymmetric Effects of Oil Price Shocks
  • 5.1. Introduction
  • 5.2. The Data
  • 5.3. Econometric Methodology
  • 5.4. Empirical Evidence
  • 5.5. Generalized Impulses Response Functions
  • 5.6. Volatility Impulse Response Functions
  • 5.7. Conclusion
  • 6. Evidence from Canada
  • 6.1. Introduction
  • 6.2. The Data
  • 6.3. The VARMA, GARCH-M, Asymmetric BEKK Model
  • 6.4. Empirical Evidence
  • 6.5. Robustness
  • 6.6. Conclusion
  • Bibliography
  • Subject Index
  • Author Index
Purchased by the George E. & Mable L. Kaufmann Book Fund bookplate

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