High Price Volatility And Spillover Effects In Energy Markets
AbstractReplaced with revised version of paper 07/22/11.
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Bibliographic InfoPaper provided by Agricultural and Applied Economics Association in its series 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania with number 103593.
Date of creation: 2011
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Asymmetric shocks; energy markets; oil; spillover effects; volatility; Marketing; Resource /Energy Economics and Policy; GARCH;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
- NEP-ENE-2011-05-24 (Energy Economics)
- NEP-SEA-2011-05-24 (South East Asia)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bessembinder, Hendrik & Chan, Kalok, 1992. "Time-varying risk premia and forecastable returns in futures markets," Journal of Financial Economics, Elsevier, vol. 32(2), pages 169-193, October.
- Stephen P. A. Brown and Mine K. Yucel, 2009. "Market Arbitrage: European and North American Natural Gas Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Special I), pages 167-186.
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