REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL

DOI10.1142/S021902490900521XzbMath1183.91188MaRDI QIDQ5324396

Tien-Yu Chiu, Shwu-Jane Shieh

Publication date: 3 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

volatilityBrent crude oilMarkov-switching ARCHSWARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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