Kuper, Gerard H. - Faculteit Economie en Bedrijfskunde, Rijksuniversiteit … - 2002
In this paper we try to measure oil price uncertainty. The measure of uncertainty is based on the conditional standard deviations. The time-varying conditional standard deviations are estimated using univariate (G)ARCH moels. We focus on volatility of the price of a barrel Brent crude, over the...