Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - In: Energy Economics 32 (2010) 6, pp. 1445-1455
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...