B1714
Title: Effect of media attention on crude oil price volatility using a non-parametric time series regression
Authors: Rishideep Roy - University of Essex (United Kingdom) [presenting]
Soudeep Deb - Indian Institute of Management Bangalore (India)
Sayar Karmakar - University of Florida (United States)
Jyotishka Ray Choudhury - Indian Statistical Institute, Kolkata (India)
Abstract: Many factors may affect the prices of crude oil sold across the globe. Media attention is a well-known factor that often plays a significant role in influencing crude oil prices during major global events. We are interested in estimating the volatility of prices of different kinds of light crude oil during the recent Russia-Ukraine War, using internet search data. We use the non-parametric stochastic regression model to estimate the mean and volatility functions, using the Nadaraya-Watson estimator. We also obtain simultaneous confidence bands for the same.
