A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
Year of publication: |
2010
|
---|---|
Authors: | Regnard, Nazim ; Zakoian, Jean-Michel |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | GARCH | Gas prices | Nonstationary models | Periodic models | Quasi-maximum likelihood estimation | Time-varying coefficients |
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