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Modelling Return and Volatility of Oil Price using Dual Long Memory Models

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  • Heni BOUBAKER
  • Nadia SGHAIER

Abstract

This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried out using a set of double long memory specifications incorporating several features such as long range dependence, asymmetry in condit

Suggested Citation

  • Heni BOUBAKER & Nadia SGHAIER, 2014. "Modelling Return and Volatility of Oil Price using Dual Long Memory Models," Working Papers 2014-283, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-283
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_283.pdf
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    References listed on IDEAS

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    6. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
    7. Davidson, James, 2004. "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 16-29, January.
    8. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
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    Keywords

    Oil price; return; volatility; dual long memory.;
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