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

DOI10.1515/SNDE-2019-0068MaRDI QIDQ2697103OpenAlexFDO

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

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

Cited in

(1)

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

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