Mohammadi, Hassan; Su, Lixian - In: Energy Economics 32 (2010) 5, pp. 1001-1008
We examine the usefulness of several ARIMA-GARCH models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1/2/1997-10/3/2009 period. In particular, we investigate the out-of-sample forecasting performance of...