Forecasting natural gas prices using highly flexible time-varying parameter models
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DOI: 10.1016/j.econmod.2021.105652
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More about this item
Keywords
Natural gas price; Structural breaks; Forecasting; Time-varying parameter; Markov switching; Stochastic volatility;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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