Year
2004
Authors
INDJEHAGOPIAN Jean-Pierre, IONNIDIS C., LANTZ F.
Abstract
We analyze the term structure of oil and oil commodities futures using a multivariate Markov -switching heteroskedastic framework. We estime a multivariate two regimes Markov-switching VECM.
INDJEHAGOPIAN, J.P., IONNIDIS, C. et LANTZ, F. (2004). Oil Price Volatility: Influence of the Trader’s Behaviour on the Term Structure. Dans: Stock Markets-LXXXIV Colloque International de l’AEA. Applied Econometrics Association (AEA).