International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models

2010/05/01 by Hassan Mohammadi, Lixian Su · 350 citations
Economics, Econometrics and Finance · Mathematics · #Autoregressive conditional heteroskedasticity #Autoregressive integrated moving average #Conditional variance #Covariance #Crude oil #Econometrics #Economics #Energy, Environment, Economic Growth #Financial economics #Market Dynamics and Volatility #Mathematics #Monetary Policy and Economic Impact #Spot contract #Statistics #Time series #Volatility (finance)

paper · doi:10.1016/j.eneco.2010.04.009

published in Energy Economics 32(5), 1001-1008 (Elsevier BV)

openalex publication_date 2010/05/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Citations

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroskedasticity
• Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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