Modeling energy price dynamics : GARCH versus stochastic volatility
Year of publication: |
February 2016
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Authors: | Chan, Joshua ; Grant, Angelia L. |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 54.2016, p. 182-189
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Subject: | Bayesian model comparison | Crude oil | Natural gas | Moving average | Jumps | Leverage | t distribution | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Ölpreis | Oil price | ARCH-Modell | ARCH model | Gaspreis | Gas price | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Erdgas |
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