Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model
<b>: </b>In this paper, the time-varying volatility feedback of nine series of energy prices is researched by employing the time-varying parameter stochastic volatility in mean (TVP-SVM) model. The major findings and conclusions can be grouped as follows: Significant differences exist in...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-12-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/10/12/4705 |