Nomikos, Nikos K.; Pouliasis, Panos K. - In: Energy Economics 33 (2011) 2, pp. 321-337
In this paper we employ regime volatility models to describe time dependency in petroleum markets. Using a sample of NYMEX and ICE futures contracts, we establish the existence of a regime process and link this process to market fundamentals. This formulation results in two distinct states: a...