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| 245 | 1 | 0 | _aA supply and demand based volatility model for energy prices |
| 490 | 0 | _vEnergy Economics, 31, p.736-747, 2009 | |
| 520 | 3 | _aThis paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices | |
| 650 | 1 | 4 | _aENERGY PRICES |
| 650 | 1 | 4 | _aVOLATILITY |
| 650 | 1 | 4 | _aSUPPLY CURVE |
| 650 | 1 | 4 | _aINVERSE LEVERAGE EFFECT |
| 650 | 1 | 4 | _aVOLATILITY-IN-MEAN EFFECT |
| 700 | 1 | 2 | _aKanamura, T. |
| 856 | 4 | 0 |
_uhttps://drive.google.com/file/d/1vHxiYJTt6JHkjN6wWnQ7yCnm_wro_9sw/view?usp=drivesdk _zPara ver el documento ingresa a Google con tu cuenta: @cicy.edu.mx |
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