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The futures price volatility in the crude oil market

Bakanova, Asyl ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO010.

The main goal of this thesis is to present and evaluate different procedures for modeling and forecasting volatility, and examine the relative accuracy of these forecasts using data from the light, sweet crude oil futures market traded at New York Mercantile Exchange (NYMEX). First, we consider various volatility models and find that the models, which account for long memory, has the best...