Frequency and time frequency domain methods in the Oil market analysis
Keywords: 
Materias Investigacion::Economía y Empresa::Economía
Precios del petróleo
Conflictos geopolíticos
crude oil price
Issue Date: 
5-Dec-2017
Defense Date: 
22-Sep-2017
Citation: 
MONGE, Manuel. “Frequency and time frequency domain methods in the Oil market analysis”. Gil-Alaña, L.A. y Pérez de Gracia, F. (dirs.). Tesis doctoral. Universidad de Navarra, Pamplona, 2017.
Abstract
The four research papers written in this doctoral thesis attempts to better understanding oil market behaviour. In the thesis’ first paper, Crude Oil Price Behaviour Before and After Military Conflicts, our objective and focus has been first to analyse the statistical properties of a real oil prices by using unit roots and fractional integration methods, and then to understand the behaviour of oil prices before and after military conflicts and geopolitical events since the Second World War. In the second part of our empirical work, I focus on the subsamples according to the different conflicts. There are six conflicts and the first thing we do is to examine if there is a different degree of integration before and after the breaks. In the second and third paper, Fractional Integration and Cointegration in Mergers and Acquisitions in the U.S. Petroleum Industry and Are Mergers and Acquisitions in the Petroleum Industry affected by Oil Prices?, I contribute to the literature on crude oil price behavior and examine how this affects mergers and acquisitions in the petroleum industry in the U.S.

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