The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating oil during the past 20 years. The...

This article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the Gulf War. We find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time, but the...

The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating oil during the past 20 years. The...

This paper utilizes the most flexible skewed generalized t (SGT) distribution for describing petroleum and metal volatilities that are characterized by leptokurtosis and skewness in order to provide better approximations of the reality. The empirical results indicate that the forecasted...