A Markov switching model of the conditional volatility of crude oil futures prices

Authors: Fong W.M.; See K.H.

Source: Energy Economics, Volume 24, Number 1, January 2002 , pp. 71-95(25)

Publisher: Elsevier

Keywords: Crude oil futures; Conditional volatility; GARCH; Markov switching

Language: English

Document Type: Research article

DOI: http://dx.doi.org/10.1016/S0140-9883(01)00087-1

Affiliations: 1: Department of Finance and Accounting, National University of Singapore, , 119260, Kent Ridge Cresent, Singapore

Publication date: 2002-01-01

• In this: publication
• By this: publisher
• In this Subject: Business ,  Economics
• By this author: Fong W.M. ;  See K.H.

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