A Markov switching model of the conditional volatility of crude oil futures prices
Wai Mun Fong; Kim Hock See
| Year of publication: |
2002
|
|---|---|
| Authors: | Fong, Wai-mun ; See, Kim Hock |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 24.2002, 1, p. 71-95
|
| Subject: | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | USA | United States | 1992-1997 |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Energy economics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001652763