Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-Min - In: Energy Economics 42 (2014) C, pp. 343-354
volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil … have a significant effect on both returns and volatility of the crude oil markets, particularly that of the WTI. Moreover … (Brent) oil markets. The presence of structural breaks reduces the persistence of volatility. Accounting for OPEC's scheduled …