Jump dynamics with structural breaks for crude oil prices

Energy Economics

Volumn 32, Issue 2, 2010, Pages 343-350

  Lee, Yen Hsien ^a   Hu, Hsu Ning ^b   Chiou, Jer Shiou ^c  

^a CHUNG YUAN CHRISTIAN UNIVERSITY   (Taiwan)

^b TAMKANG UNIVERSITY   (Taiwan)

^c SHIH CHIEN UNIVERSITY   (Taiwan)

Author keywords

Component ARJI model with structural breaks; Jump intensity; Permanent and transitory components

Indexed keywords

ANALYTICAL RESULTS; CONDITIONAL VARIANCE; CRUDE OIL PRICES; FUTURES CONTRACT; INFLUENTIAL FACTORS; JUMP INTENSITY; MAJOR EVENTS; PRICE MOVEMENT; STRUCTURAL BREAK; WEST TEXAS INTERMEDIATES;

GAS INDUSTRY;

CRUDE OIL;

CRUDE OIL; ENERGY MARKET; MODELING; VARIANCE ANALYSIS;

EID: 74149084817     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.08.006     Document Type: Article

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