Common Persistence in International Oil Prices

This paper examines the common volatility of oil prices. A new method is proposed for discussing persistence of energy risk based on volatility impulse response function. The new definition of volatility persistence and common persistence is established. The empirical results show that there exists volatility persistence in international oil energy markets, which can be removed by linear combination. This phenomenon is defined as linear common persistence, which is very helpful in understanding of portfolios investigation in energy risk management.