Article ID Journal Published Year Pages File Type
5055627 Economic Modelling 2011 7 Pages PDF
Abstract
► Testing for long memory in crude oil price volatility. ► Modeling the crude oil price volatility. ► Evaluating the performance of GARCH-class model using non-parametric methods.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Can GARCH-class models capture long memory in WTI crude oil markets?
Authors
, , ,