Modelling oil price volatility with structural breaks

@inproceedings{Salisu2013ModellingOP,
  title={Modelling oil price volatility with structural breaks},
  author={Afees A. Salisu and Ismail Olaleke Fasanya},
  year={2013}
}
In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to… CONTINUE READING

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