Lee, Yen-Hsien; Hu, Hsu-Ning; Chiou, Jer-Shiou - In: Energy Economics 32 (2010) 2, pp. 343-350
Abstract This study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices. We adopt a Component-ARJI model with structural break analysis, utilizing daily data on West...