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

DOI10.1515/SNDE-2022-0051MaRDI QIDQ6645255

Michał Rubaszek, Karol Szafranek

Publication date: 28 November 2024

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

Bayesian inferenceenergy marketoil-gas relationshipTVP-VAR model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Large time-varying parameter VARs
• Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
• The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
• Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Time Varying Structural Vector Autoregressions and Monetary Policy

This page was built for publication: Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6645255)