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Forecasting the Conditional Volatility of Spot and Futures Oil Prices with Structural Breaks and Long Memory Models

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  • Amine LAHIANI
  • Mohamed EL HEDI AROURI
  • Duc KHUONG NGUYEN

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  • Amine LAHIANI & Mohamed EL HEDI AROURI & Duc KHUONG NGUYEN, 2010. "Forecasting the Conditional Volatility of Spot and Futures Oil Prices with Structural Breaks and Long Memory Models," EcoMod2010 259600101, EcoMod.
    • Handle: RePEc:ekd:002596:259600101
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    File URL: http://www.ecomod.net/sites/default/files/document-conference/ecomod2010/1329.pdf
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    1. L. ALAN WINTERS & NEIL McCULLOCH & ANDREW McKAY, 2015. "Trade Liberalization and Poverty: The Evidence So Far," World Scientific Book Chapters, in: Non-Tariff Barriers, Regionalism and Poverty Essays in Applied International Trade Analysis, chapter 14, pages 271-314, World Scientific Publishing Co. Pte. Ltd..
    2. Wong, Sara A., 2009. "Productivity and trade openness in Ecuador's manufacturing industries," Journal of Business Research, Elsevier, vol. 62(9), pages 868-875, September.
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    4. François Bourguignon & Anne-Sophie Robilliard & Sherman Robinson, 2003. "Representative versus real households in the macro-economic modeling of inequality," Working Papers DT/2003/10, DIAL (Développement, Institutions et Mondialisation).
    5. Wong, Sara & Argüello, Ricardo, 2010. "Fiscal policies and increased trade openness: poverty impacts in Ecuador," Libros de la CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 2585, May.
    6. François Bourguignon & Maurizio Bussolo & Luis Pereira, 2008. "The Impact of Macroeconomic Policies on Poverty and Income Distribution," PSE-Ecole d'économie de Paris (Postprint) halshs-00754864, HAL.
    7. Maurizio Bussolo & Jann Lay, 2003. "Globalisation and Poverty Changes in Colombia," OECD Development Centre Working Papers 226, OECD Publishing.
    8. James B. Davies, 2004. "Microsimulation, CGE and Macro Modelling for Transition and Developing Economies," WIDER Working Paper Series DP2004-08, World Institute for Development Economic Research (UNU-WIDER).
    9. Thomas W. Hertel, 2006. "A Survey of Findings on the Poverty Impacts of Agricultural Trade Liberalization," The Electronic Journal of Agricultural and Development Economics, Food and Agriculture Organization of the United Nations, vol. 3(1), pages 1-26.
    10. מחקר - ביטוח לאומי, 2006. "Summary for 2005," Working Papers 29, National Insurance Institute of Israel.
    11. repec:dau:papers:123456789/5130 is not listed on IDEAS
    12. repec:pru:wpaper:7 is not listed on IDEAS
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    Cited by:

    1. Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012. "The analyses of Crude Oil and Natural Gas Prices on Petrochemicals Products: A Case Study of IRAN's Methanol," MPRA Paper 48788, University Library of Munich, Germany.
    2. Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers 2011-23, University of Paris Nanterre, EconomiX.
    3. Delavari, Majid & Gandali Alikhani, Nadiya, 2012. "The Effect of Crude Oil Price on the Methanol price," MPRA Paper 49727, University Library of Munich, Germany.

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