Comparative Performance of Volatility Models for Oil Price
In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i) we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii) we also analyse the...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2012-07-01
|
| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | http://www.econjournals.com/index.php/ijeep/article/view/235/139 |