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

• Main Authors: Bai, Xiwen, Lam, Jasmine Siu Lee
• Other Authors: School of Civil and Environmental Engineering
• Format: Article
• Language: English
• Published: 2021
• Subjects: Engineering::Civil engineering; Liquefied Petroleum Gas; Shipping Freight
• Online Access: https://hdl.handle.net/10356/150779
• Institution: Nanyang Technological University

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...