Modeling natural gas market volatility using GARCH with different distributions
Year of publication: |
2013
|
---|---|
Authors: | Lv, Xiaodong ; Shan, Xian |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 22, p. 5685-5699
|
Publisher: |
Elsevier |
Subject: | Natural gas | GARCH | Volatility | Fat-tail distribution | Multifractality |
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