A Markov switching model of the conditional volatility of crude oil futures prices

By W. Fong, K. See. 2002

207 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b4ebc56fa913f3dfa82a4cf1758d2b6139fa6534

How researchers see this paper

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In Economics and Econometrics

1. Duc Khuong Nguyen
2. Yue‐Jun Zhang
3. Sang Hoon Kang
4. George Filis
5. Mohamed Arouri
6. Amine Lahiani
7. Seong‐Min Yoon
8. Stavros Degiannakis *

In Finance

1. Duc Khuong Nguyen
2. Mohamed Arouri
3. Amine Lahiani
4. Sang Hoon Kang
5. Seong‐Min Yoon
6. Yue‐Jun Zhang
7. Lu Zhang
8. Feng Ma

Citations in the corpus

• Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, methodology): “As far as it is concerned by the behavior of oil volatility, our paper can be viewed as widely related to the contribution of Fong and See (2002) in the sense that we also consider the potential of instability in energy prices, but we are more general by firstly dating the structural breaks in the s”
• Modeling and forecasting the volatility of petroleum futures prices (2013, background): “switching in energy futures markets (Fong and Kim, 2002; Lee, Hu and Chiou, 2010), and option pricing formulas for futures contracts (Wang, Wu and Yang, 2008).”
• Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, unknown): “Fong and See (2002) conclude that regime switching models provide a useful framework for studying factors behind the evolution of volatility and short-term volatility forecasts.”
• Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models? (2019, methodology): “Cai (1994) and Hamilton and Susmel (1994) introduce the regime switching process (Hamilton, 1988, 1989) into the GARCH model, in order to consider potential structural changes.”
• Forecasting the realized volatility of the oil futures market: A regime switching approach (2017, background): “For instance, Fong and See (2002, 2003) document a strong evidence of regime switching in the temporal volatility dynamics of oil futures, consistent with the theory of storage.”
• A model of carbon price interactions with macroeconomic and energy dynamics (2011, methodology): “Markov-switching models have been used in contemporary empirical macroeconomics 8 As noted by Fong and See (2002), it is common practice to assume that the maximum likelihood estimators are consistent and asymptotically normal.”
• A Markov regime switching approach for hedging energy commodities (2008, background): “For instance, Fong and See (2002;2003) use a two-state process in the crude oil futures market.”
• Interpreting the crude oil price movements: Evidence from the Markov regime switching model (2015, background): “Typical literature Models Main results Fong and See [21] A generalized regime switching model The regime shifts are present in the data and dominate GARCH effects, and a negative basis is more likely to increase regime persistence than a positive one in the high volatility regime Wei et al.”