REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL
Year of publication: |
2009
|
---|---|
Authors: | CHIU, TIEN-YU ; SHIEH, SHWU-JANE |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 02, p. 113-124
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Markov-switching ARCH | SWARCH | volatility | Brent crude oil |
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