𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Modelling oil price volatility with structural breaks

✍ Scribed by Afees A. Salisu; Ismail O. Fasanya


Book ID
119237801
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
436 KB
Volume
52
Category
Article
ISSN
0301-4215

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Modelling oil price volatility
✍ Paresh Kumar Narayan; Seema Narayan πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 213 KB

In this paper, we examine the volatility of crude oil price using daily data for the period 1991-2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various sub

A maximal affine stochastic volatility m
✍ W. Keener Hughen πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 333 KB πŸ‘ 1 views

## Abstract This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also ident