Modeling and forecasting the volatility of petroleum futures prices

Energy Economics

Volumn 36, Issue , 2013, Pages 354-362

  Kang, Sang Hoon ^a   Yoon, Seong Min ^a  

^a Pusan National University   (South Korea)

Author keywords

DM test; Forecasting ability; Long memory; Persistence; Petroleum futures

Indexed keywords

DM TEST; FORECASTING ABILITY; FUTURES CONTRACT; FUTURES MARKET; HEATING OIL; LONG MEMORIES; LONG-MEMORY PROPERTY; MARKET RETURNS; MODELING AND FORECASTING; NEW YORK MERCANTILE EXCHANGE; PERSISTENCE; STYLIZED FACTS; UNLEADED GASOLINE; VOLATILITY PERSISTENCE; WEST TEXAS INTERMEDIATES;

COMMERCE; CRUDE OIL; ECONOMIC ANALYSIS;

FORECASTING;

CRUDE OIL; OIL PRODUCTION; OIL SUPPLY; PRICE DETERMINATION; PRICE DYNAMICS;

TEXAS; UNITED STATES;

EID: 84874305995     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2012.09.010     Document Type: Article

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