Bettendorf, Leon; Geest, Stephanie van der; Kuper, Gerard H. - 2005
in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by …This paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes … estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has …