Modelling Return and Volatility of Oil Price using Dual Long Memory Models

Heni Boubaker () and Nadia Sghaier ()

No 2014-283, Working Papers from Department of Research, Ipag Business School

Abstract: This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried out using a set of double long memory specifications incorporating several features such as long range dependence, asymmetry in condit

Keywords: Oil price; return; volatility; dual long memory. (search for similar items in EconPapers)
Pages: 14 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ene, nep-ets and nep-for
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Citations: View citations in EconPapers (26)

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