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Fernando Antonio Lucena Aiube,Carlos Patrício Samanez,Larissa de Oliveira Resende,Tara Keshar Nanda Baidya
Pág. 511 - 535
We examine the ability of three different GARCH-class models, with four innovation distributions, to capture the volatility properties of natural gas futures contracts traded on the New York Mercantile Exchange. We jointly estimate the long-memory proces...
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