Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Preprint OPEN
Chia-Lin Chang; Michael McAleer; Roengchai Tansuchat; (2009)

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 W... View more
Share - Bookmark