Modelling Nonlinear Dynamics of Oil Futures Market

  • Ayben Koy Department of Banking and Finance, Istanbul Ticaret University, Turkey
Keywords: Oil Futures, Markov Switching, Regime Switching, Regime Dependence


Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study findings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.


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How to Cite
Koy, A. (2017). Modelling Nonlinear Dynamics of Oil Futures Market. Econometric Research in Finance, 2(1), 23 - 42.
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