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Commodity derivative
Volatility
10
GARCH
8
EU ETS
7
EU countries
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EU-Staaten
6
Option prices
6
heteroscedasticity-corrected correlation
6
Endogenous Structural Break Detection
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Rolling Estimation
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commodity excess comovement hypothesis
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ELECTRICITE
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Economic convergence
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Electricity
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REGULATION
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Volatilität
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Welt
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Wirtschaftliche Konvergenz
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World
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commodity index
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factors model
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futures trading
4
multivariate GARCH
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Cointegration
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Common Factors
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Convergence
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DEREGLEMENTATION
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ENERGIE
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Energy intensity
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Excess Comovement
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Gas Futures
3
Oil Futures
3
Structural break
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Theorie
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Theory
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convergence
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volatility impulse response function
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Approximate Factor Models
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Commodity exchange
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Commodity market
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LePen, Yannick
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Bunn, Derek W.
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Chevallier, Julien
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Sevi, Benoit
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Sévi, Benoît
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Review of finance : journal of the European Finance Association
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The energy journal
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ECONIS (ZBW)
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Fundamental and financial influences on the co-movement of oil and gas prices
Bunn, Derek W.
;
Chevallier, Julien
;
LePen, Yannick
; …
- In:
The energy journal
38
(
2017
)
2
,
pp. 201-228
Persistent link: https://www.econbiz.de/10011661711
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2
Futures trading and the excess co-movement of commodity prices
LePen, Yannick
;
Sévi, Benoît
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
1
,
pp. 381-418
Persistent link: https://www.econbiz.de/10011990798
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