Event Study of Energy Price Volatility: An Application of Distributional Event Response Model
作者： Berna Karali , Shiyu Ye , Octavio A. Ramirez
DOI:
关键词: Volatility swap 、 Futures contract 、 Volatility (finance) 、 Bankruptcy 、 Financial economics 、 Dummy variable 、 Econometrics 、 Volatility smile 、 Event study 、 Economics 、 Volatility risk premium
摘要: 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 analyze pattern market responses selected events. The results show that all events considered have statistically significant effects on price volatility. U.S. invasion Iraq 2003 bankruptcy filing Lehman Brothers 2008 are found largest impacts both In addition, location duration event windows vary across different event. Generally, response an observed after several months following event, suggesting simply using event-day dummy variable would hinder discovering actual
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