Basis variations and regime shifts in the oil futures market

European Journal of Finance

Volumn 9, Issue 5, 2003, Pages 499-513

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

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Conditional volatility; Crude oil futures; Forecasting; GARCH persistence; Regime switching

Indexed keywords

EID: 0742306194     PISSN: 1351847X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1351847032000082808     Document Type: Conference Paper

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