Bettendorf, L.; Geest, S. A. van der; Kuper, G. H. - In: Journal of Applied Statistics 36 (2009) 4, pp. 385-397
This paper analyses adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004, taking care of volatility clustering by estimating an EGARCH model. It turns out that the...
