The role of the threshold effect for the dynamics of futures and spot prices of energy commodities

DOI10.1515/SNDE-2019-0068OpenAlexW3043531585MaRDI QIDQ2697103FDOQ2697103

Authors: Michał Rubaszek, Zuzanna Karolak, Marek Kwas, Gazi Salah Uddin 

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0068

zbMATH Keywords

forecastingthreshold modelsfutures marketsenergy commodity prices

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Threshold models in time series analysis -- 30 years on
• On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
• An interview with Timo Teräsvirta

Cited In (1)

• Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis

This page was built for publication: The role of the threshold effect for the dynamics of futures and spot prices of energy commodities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2697103)