Effective energy commodities’ risk management: Econometric modeling of price volatility
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More about this item
Keywords
Energy commodities; WTI oil; Brent oil; electricity; natural gas; gasoline; risk management; volatility modeling; ARCH-GARCH models; Markov-Switching GARCH models.;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- G3 - Financial Economics - - Corporate Finance and Governance
- O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- P28 - Economic Systems - - Socialist Systems and Transition Economies - - - Natural Resources; Environment
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- Q58 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environmental Economics: Government Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2019-01-21 (Energy Economics)
- NEP-ETS-2019-01-21 (Econometric Time Series)
- NEP-RMG-2019-01-21 (Risk Management)
Statistics
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