Variability in coal prices: evidence from the U.S
AbstractMonthly U.S. coal price time series data are tested to determine the persistence of shocks. The time series is then disaggregated by length of agreement to further explore the first and second moments of pricing behaviour. Results show that prices have a variance that changes over time and tend to be highly persistent. Prices from long-term transaction agreements tend to require more lags and have a higher degree of persistence.
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Bibliographic InfoPaper provided by University of Stirling, Division of Economics in its series Stirling Economics Discussion Papers with number 2009-01.
Date of creation: Jan 2009
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Persistence and randomness; Variability; Coal prices;
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