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This paper examines the basic stylized facts of hydrocarbon gas liquids (HGL) prices using monthly data for the United States, over the period from 1985:1 to 2018:1. We investigate the cyclical properties of HGL prices, and find that HGL prices are procyclical and mostly lead the cycle of...
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an important factor that can influence the price of a commodity. In this work, we explore how seasonality affects … component of the price movements using a two-factor model, focusing on the seasonality and on the impact of the financial crisis …
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