A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price
Xiwen Bai, Jasmine Siu Lee Lam
| Year of publication: |
2019
|
|---|---|
| Authors: | Bai, Xiwen ; Lam, Jasmine Siu Lee |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 78.2019, p. 412-427
|
| Subject: | Arbitrage | Copula | Crude oil | Liquefied petroleum gas | Shipping freight | Time-varying dependency | Ölpreis | Oil price | Frachtrate | Freight rate | Ölmarkt | Oil market | Welt | World | Multivariate Verteilung | Multivariate distribution | Flüssiggas | Liquefied natural gas | Erdöl | Petroleum | Volatilität | Volatility | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.10.032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012159988