Long memory versus structural changes in the dynamics of Europe brent-oil prices
Joint Authors
Lamouchi, Rim Ammar
Alawi, Suha Mahmud
Source
Arab Journal for Administration
Issue
Vol. 41, Issue 3 (30 Sep. 2021), pp.415-424, 10 p.
Publisher
League of Arab States The Arab Administrative Development Organization
Publication Date
2021-09-30
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Topics
Abstract EN
In this paper, we examine the potential of long memory and structural breaks properties in the Brent returns and the Brent volatility series.
We analyze the series over the period 20/05/1987-22/01/2016, using long memory tests, we demonstrate strong evidence of long-range dependence in the daily return and volatility of oil prices.
From structural breaks tests, we find two structural breaks that appear in 1991 and 2008 which coincides, respectively, with the Gulf war and the global financial crisis.
We use the Perron and Qu (2010) test in order to discriminate the long memory from the spurious long memory in presence of structural break, the results show strong evidence in favor of long memory.
Long memory plays a crucial role in describing the oil price dynamics and we can also confirm that despite the persistence of shocks, the evolution of series is predetermined by a long memory process.
American Psychological Association (APA)
Lamouchi, Rim Ammar& Alawi, Suha Mahmud. 2021. Long memory versus structural changes in the dynamics of Europe brent-oil prices. Arab Journal for Administration،Vol. 41, no. 3, pp.415-424.
https://search.emarefa.net/detail/BIM-1305290
Modern Language Association (MLA)
Lamouchi, Rim Ammar& Alawi, Suha Mahmud. Long memory versus structural changes in the dynamics of Europe brent-oil prices. Arab Journal for Administration Vol. 41, no. 3 (Sep. 2021), pp.415-424.
https://search.emarefa.net/detail/BIM-1305290
American Medical Association (AMA)
Lamouchi, Rim Ammar& Alawi, Suha Mahmud. Long memory versus structural changes in the dynamics of Europe brent-oil prices. Arab Journal for Administration. 2021. Vol. 41, no. 3, pp.415-424.
https://search.emarefa.net/detail/BIM-1305290
Data Type
Journal Articles
Language
English
Notes
-
Record ID
BIM-1305290