Regime-switched volatility of Brent crude oil futures using Markov-switching ARCH model
碩士 === 國立政治大學 === 國際貿易研究所 === 94 === This paper investigates the volatility of the Brent crude oil futures markets using Markov-switching ARCH (SWARCH) model. The SWARCH model allows the conditional disturbances to change as time passes and even to switch in different regimes. The empirical evidence...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/05492789626590926235 |