Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump
This paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2016-12-01
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| Series: | Investment Management & Financial Innovations |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8096/imfi_en_2016_04cont_Bahramgiri.pdf |