Causality in Quantiles and Dynamic Relations in Energy Markets
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More about this item
KeywordsEnergy price returns; Granger non-causality; Quantile regression; Tail quantiles; Environment; energy and climate policy; C22; G14; Q41;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ENE-2019-04-01 (Energy Economics)
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