Arouri, Mohamed El Hédi; Lahiani, Amine; Lévy, Aldo; … - In: Energy Economics 34 (2012) 1, pp. 283-293
This paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and forecasting the conditional volatility of oil spot and futures prices using a variety of GARCH-type models. Our results can be summarized as follows. First, we provide evidence...