Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series-Reference-Cited by-同舟云学术

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Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series

Published:2016-08-30 Issue:3 Volume:40 Page:235-262
ISSN:1753-0229
Container-title:OPEC Energy Review
language:en
Short-container-title:OPEC Energy Rev

Author:

Olubusoye Olusanya E.¹,Yaya OlaOluwa S.¹

Affiliation:

1. Department of Statistics; University of Ibadan; Ibadan 23402 Nigeria

Publisher

Wiley

Subject

General Energy,Economics and Econometrics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/opec.12077/fullpdf

Reference83 articles.

1. Modelling petroleum future price volatility: analyzing asymmetry and persistency of shocks;Alom;OPEC Energy Review,2012

2. Intraday periodicity and volatility persistence in Financial Markets;Andersen;Journal of Empirical Finance,1997

3. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Modelling Liquified Petroleum Gas Prices in Nigeria Using Machine Learning Models;International Journal of Data Science;2022-12-23

2. Forecasting spikes in electricity return innovations;Energy;2018-05

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