Chaotic Structure of Oil Prices

Bildirici M. E., Sonustun F. O.

6th International Eurasian Conference on Mathematical Sciences and Applications (IECMSA), Budapest, Macaristan, 15 - 17 Ağustos 2017, cilt.1926 identifier identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 1926
  • Doi Numarası: 10.1063/1.5020458
  • Basıldığı Şehir: Budapest
  • Basıldığı Ülke: Macaristan
  • Anahtar Kelimeler: Oil price, BDS test, Lyapunov Exponent, Chaos, Non-linearity, SMOOTH TRANSITION
  • Yıldız Teknik Üniversitesi Adresli: Evet

Özet

The fluctuations in oil prices are very complicated and therefore, it is unable to predict its effects on economies. For modelling complex system of oil prices, linear economic models are not sufficient and efficient tools. Thus, in recent years, economists attached great attention to non-linear structure of oil prices. For analyzing this relationship, GARCH types of models were used in some papers. Distinctively from the other papers, in this study, we aimed to analyze chaotic pattern of oil prices. Thus, it was used the Lyapunov Exponents and Hennon Map to determine chaotic behavior of oil prices for the selected time period.