Modelling oil price volatility with structural breaks
β 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
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π SIMILAR VOLUMES
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
## 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 threeβfactor model with one state variable driving the volatility and is maximal among all such models that are also ident