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Modelling energy spot prices: Empirical evidence from NYMEX · Study

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ArticleModelling energy spot prices: Empirical evidence from NYMEX

Nikos K. Nomikos2011

Article2011

Modelling energy spot prices: Empirical evidence from NYMEX

Nikos K. Nomikos · Kostas D. Andriosopoulos

83 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1994Investment Under Uncertainty.

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2014Leverage effect in energy futures 2021The role of national carbon pricing in phasing out China's coal power 2018A novel approach for oil price forecasting based on data fluctuation network

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Year2011

Typearticle

Published2011-10-19

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations83

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2011.10.001

openalex_workW1992857537

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