Regime-switching stochastic volatility: Evidence from the crude oil market

Energy Economics

Volumn 31, Issue 5, 2009, Pages 779-788

  Vo, Minh T ^a  

^a METROPOLITAN STATE UNIVERSITY   (United States)

Author keywords

Crude oil price; Forecasting; MCMC method; Regime switching; Stochastic volatility

Indexed keywords

BAYESIAN MARKOV CHAIN MONTE CARLO; CRUDE OIL MARKET; CRUDE OIL PRICE; CRUDE OIL PRICES; FIRST-ORDER; MAJOR EVENTS; MCMC METHOD; OIL MARKET; OIL RETURN; REGIME SWITCHING; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODEL; TWO-STATE;

COMMERCE; CRUDE PETROLEUM; ELECTRIC LOAD FORECASTING; MARKOV PROCESSES; MONTE CARLO METHODS; SWITCHING;

STOCHASTIC MODELS;

BAYESIAN ANALYSIS; CRUDE OIL; ENERGY MARKET; FORECASTING METHOD; MARKOV CHAIN; MONTE CARLO ANALYSIS; PREDICTION; PRICE DYNAMICS; STOCHASTICITY;

EID: 67650713612     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.05.001     Document Type: Article

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