El Hedi Arouri, Mohamed; Huong Dinh, Thanh; Khuong … - In: Energy Policy 38 (2010) 8, pp. 4371-4380
This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find...