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This paper analyzed oil prices during 2000M1 - 2007M10. To exhibit effect of monetary policy, the paper distinguished two samples 2000M1 - 2003M4 and 2003M5 - 2007M10. The paper assumed oil prices to be driven by Levy processes (LP) of generalized hyperbolic (GH) type and used daily data to estimate parameters of these processes. Combining features of normal and stable distributions and offering more flexibility than Poisson-type processes, which were known to model finite large jumps, GH distributions gained wide popularity in modeling stock market indices. In view of their success in modeling financial time-series, Levy processes of hyperbolic type were advocated by many authors.
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