A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price

Global liquefied petroleum gas (LPG) trade shows an increasing trend but is under-researched. This paper focuses on the LPG market and aims to model the dependence dynamics among LPG freight rates, crude oil price and propane location arbitrage. Conditional copula-GARCH model is applied to estimate...

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书目详细资料
Main Authors: Bai, Xiwen, Lam, Jasmine Siu Lee
其他作者: School of Civil and Environmental Engineering
格式: Journal Article
语言:English
出版: 2021
主题:
在线阅读:https://hdl.handle.net/10356/150779