Kang, Sang Hoon; Yoon, Seong-Min - In: Energy Economics 36 (2013) C, pp. 354-362
We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...