Forecasting Oil Price Volatility
This study compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a...
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Virginia Tech
2014
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| Online Access: | http://hdl.handle.net/10919/36815 http://scholar.lib.vt.edu/theses/available/etd-5398-184344/ |