Regime-switching stochastic volatility: Evidence from the crude oil market

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Forecasting crude oil price volatility (2018, unknown): “Studies that estimate MS-GARCH models for oil price returns (e.g. Fong and See 2002, Vo 2009, and Nomikos and Pouliasis 2011) or a stock price index (e.g. Marcucci 2005), proceed to estimate the MS-GARCH models without testing for the existence of regime switching.”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “Utilizing the Feynman–Kac theorem, one can find from the associated PDE that the function g( ; t, T, Vt) should satisfy (note that 0 t T hereafter) @g @t þ ð ðtÞ VÞ @g @V þ 1 2 2V @2g @V2 ¼ 0, gð ; t ¼ T,T,VÞ ¼ e V: Following the solution procedure used by Heston (1993), Bakshi et al. (1997), Duffie”
Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014, background): “In addition, empirical insights from such analysis are equally crucial for hedging strategies and derivatives management (see Arouri et al., 2012; Ewing et al., 2002; Vo, 2009).”
Modeling energy price dynamics: GARCH versus stochastic volatility (2016, background): “Alternatively, some recent papers have considered stochastic volatility models, where the volatility is a latent variable that follows a stochastic process (see, e.g., Sadorsky, 2005; Vo, 2009; Trolle and Schwartz, 2009; Larsson and Nossman, 2011; Brooks and Prokopczuk, 2013).”