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A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
Regnard, Nazim
;
Zakoïan, Jean-Michel
- In:
Energy Economics
33
(
2011
)
6
,
pp. 1240-1251
relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a
GARCH
(1 …
Persistent link: https://www.econbiz.de/10011039612
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