Charles, Amélie; Darné, Olivier - HAL - 2012
account outliers on the volatility modelling process may improve the understanding of volatility in crude oil markets. … volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … oil markets - Brent, West Texas Intermediate (WTI) and Organization of Petroleum Exporting Countries (OPEC) - between …