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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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/150779 |
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| Institution: | Nanyang Technological University |
| Language: | English |