Article ID Journal Published Year Pages File Type
7382996 Physica A: Statistical Mechanics and its Applications 2011 8 Pages PDF
Abstract
► We examine the influence of structural changes in volatility in crude oil markets. ► We utilize the ICSS algorithm to identify structural changes in volatility. ► The degree of persistence is reduced via the incorporation of structural changes. ► We must consider the structural changes in analyzing volatility transmission.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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Structural changes and volatility transmission in crude oil markets
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