Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2010
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at- Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...