How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process

Since its formation, OPEC through its conference decisions has been a major player in the world oil markets. The purpose of this paper is to examine the impacts of OPEC's different news announcements on the conditional expectations and volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil production behavior in response to its “cut”, “maintain”, and “increase” decisions. Then...