Liao, Huei-Chu; Lee, Yi-Huey; Suen, Yu-Bo - In: Energy Economics 30 (2008) 5, pp. 2636-2644
This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market. After a suitable GARCH model is established, the conditional volatility series are found. The Bai and Perron model is then used to find...