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

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

Wai Mun Fong2002

Article2002

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

Wai Mun Fong · Kim Hock See

195 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1992ARCH modeling in finance 1987Expected stock returns and volatility 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2015Proof that Properly Anticipated Prices Fluctuate Randomly

Cited by

2011A model of carbon price interactions with macroeconomic and energy dynamics 2020Do green investments react to oil price shocks? Implications for sustainable development 2012Modelling oil price volatility with structural breaks 2017Forecasting the realized volatility of the oil futures market: A regime switching approach 2011Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

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Year2002

Typearticle

Published2002-01-01

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations195

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0140-9883(01)00087-1

openalex_workW1995897294

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2009Regime-switching stochastic volatility: Evidence from the crude oil market

2010Forecasting petroleum futures markets volatility: The role of regimes and market conditions

2015Interpreting the crude oil price movements: Evidence from the Markov regime switching model