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Conference Proceedings (2004), Stock Markets-LXXXIV Colloque International de l'AEA, Applied Econometrics Association (AEA)

Oil Price Volatility: Influence of the Trader's Behaviour on the Term Structure

INDJEHAGOPIAN Jean-Pierre , Ionnidis C., Lantz F.

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. and LANTZ, F. (2004). Oil Price Volatility: Influence of the Trader's Behaviour on the Term Structure. In: Stock Markets-LXXXIV Colloque International de l'AEA. Applied Econometrics Association (AEA).