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Modelling petroleum future price volatility: analysing asymmetry and persistency of shocks

Author

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  • Fardous Alom
  • Bert D. Ward
  • Baiding Hu

Abstract

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Suggested Citation

  • Fardous Alom & Bert D. Ward & Baiding Hu, 2012. "Modelling petroleum future price volatility: analysing asymmetry and persistency of shocks," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 36(1), pages 1-24, March.
    • Handle: RePEc:bla:opecrv:v:36:y:2012:i:1:p:1-24
    DOI: j.1753-0237.2011.00204.x
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    File URL: http://hdl.handle.net/10.1111/j.1753-0237.2011.00204.x
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    Cited by:

    1. Aboura, Sofiane & Chevallier, Julien, 2016. "Spikes and crashes in the oil market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 615-623.
    2. Gil-Alana, Luis A. & Gupta, Rangan & Olubusoye, Olusanya E. & Yaya, OlaOluwa S., 2016. "Time series analysis of persistence in crude oil price volatility across bull and bear regimes," Energy, Elsevier, vol. 109(C), pages 29-37.

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