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Do daily retail gasoline prices adjust asymmetrically?
Bettendorf, Leon; Geest, Stephanie van der; Kuper, Gerard H. - 2005
This paper analyzes 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 the volatility...
Persistent link: https://www.econbiz.de/10011343273
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European gasoline markets : price transmission asymmetries in mean and variance
Torrado, María; Escribano, Álvaro - 2020
Persistent link: https://www.econbiz.de/10012158754
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Do Daily Retail Gasoline Prices Adjust Asymmetrically?
Bettendorf, Leon J.H; Van der Geest, Stephanie; Kuper, … - 2005
This paper analyzes 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 the volatility...
Persistent link: https://www.econbiz.de/10014064939
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Effect of futures trading on spot price volatility: evidence for NSE Nifty using GARCH
Debasish, Sathya Swaroop - In: Afro-Asian Journal of Finance and Accounting : AAJFA 1 (2008) 2, pp. 140-150
Persistent link: https://www.econbiz.de/10003787139
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Role of the futures market on volatility and price discovery of the spot market : evidence from Pakistan's stock market
Khan, Safi Ullah - In: The Lahore journal of economics 11 (2006) 2, pp. 107-121
Persistent link: https://www.econbiz.de/10003453504
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Impact of the introduction of futures on spot price volatility, evidence for the S&P CNX nifty index and futures contract using EGARCH
Pradhan, Kailash Chandra - In: International journal of economic research 7 (2010) 1, pp. 79-89
Persistent link: https://www.econbiz.de/10003997847
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Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877105
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Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877109
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Impact of the introduction of futures on spot price volatility, evidence for the S&P CNX nifty index and futures contract using EGARCH
Pradhan, Kailash Chandra - In: International journal of applied business and economic … 7 (2009) 2, pp. 135-143
Persistent link: https://www.econbiz.de/10003945431
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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212