A Markov switching model of the conditional volatility of crude oil futures prices

Energy Economics

Volumn 24, Issue 1, 2002, Pages 71-95

  Fong, Wai Mun ^a   See, Kim Hock ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Conditional volatility; Crude oil futures; GARCH; Markov switching

Indexed keywords

EVALUATION; PROBABILITY; VAPORIZATION;

CONDITIONAL LEPTOKURTOSIS;

CRUDE PETROLEUM;

CRUDE OIL; ENERGY MARKET; METHODOLOGY; PRICE DYNAMICS;

EID: 0036139323     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0140-9883(01)00087-1     Document Type: Article

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