Modelling oil price volatility
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Paresh Kumar Narayan; Seema Narayan
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Article
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2007
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Elsevier Science
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English
β 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