Estimating volatility persistence in oil prices under structural breaks

Financial Review

Volumn 45, Issue 4, 2010, Pages 1011-1023

  Ewing, Bradley T ^a   Malik, Farooq ^b  

^a TEXAS TECH UNIVERSITY   (United States)

^b UNIVERSITY OF SOUTHERN MISSISSIPPI   (United States)

Author keywords

G1; GARCH; ICSS algorithm; Oil; Structural breaks; Volatility

Indexed keywords

EID: 84857124199     PISSN: 07328516     EISSN: 15406288     Source Type: Journal    
DOI: 10.1111/j.1540-6288.2010.00283.x     Document Type: Article

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