Arouri, Mohamed El Hédi; Lahiani, Amine; Lévy, Aldo; … - In: Energy Economics 34 (2012) 1, pp. 283-293
This paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and … to better fit the data, but the degree of volatility persistence diminishes significantly after adjusting for structural … breaks. Finally, the out-of-sample analysis shows that volatility models accommodating instability and long memory …