Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation:

George Varghese,Vinodh Madhavan

Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation:

2021

George Varghese
Vinodh Madhavan

We model the first and second moments of global crude oil benchmarks, using iterative pre-whitened generalized autoregressive conditional heteroskedasticity (GARCH) models and, in doing so, validat...

Keywords:

Econometrics
Nonlinear system
crude oil
Autoregressive conditional heteroskedasticity
Economics

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