Modeling the Volatility of World Energy Commodity Prices Using the GARCH-Fractional Cointegration Model
Author:
Funder
Institut Teknologi Sepuluh Nopember
Publisher
Elsevier BV
Reference22 articles.
1. The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework;Lin;Applied Energy,2015
2. Symmetry/antisymmetry phase transitions in crude oil markets;Alvarez-Ramirez;Physica A: Statistical Mechanics and its Applications,2003
3. Evaluation of a mining project under the joint effect of commodity price and exchange rate uncertainties using real options valuation;Haque;Eng. Econ.,2017
4. Robert S. Pindyck. (2004) “Volatility in natural gas and oil markets,” Massachusetts Institute of Technology, Cambridge.
5. Autoregressive Conditional Heteroscedasticity with Estimates of Variance of UK Inflation;Engle;Econometrica,1982
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