Multivariate FIGARCH and long memory process: evidence of oil price markets

Oil price markets can benefit from a better considerate of how shocks can affect volatility through time. This study assesses the impact of structural changes and outliers on volatility persistence of two crude oil markets WTI and Brent oil price between January 1, 1996 and March 17, 2014. First, we...

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Bibliographic Details
Main Authors: Nadhem Selmi, Nejib Hachicha
Format: Article
Published: Growing Science 2015-09-01
Series:Management Science Letters
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