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Volumn 32, Issue 1, 2004, Pages 77-82

Effects of NYMEX trading on IPE Brent Crude futures markets: A duration analysis

Author keywords

Duration analysis; Energy futures; Lead lag

Indexed keywords

CRUDE PETROLEUM; DATA REDUCTION; MARKETING;

EID: 0042731783     PISSN: 03014215     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0301-4215(02)00259-8     Document Type: Article
Times cited : (23)

References (9)
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  • 4
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    • Autoregressive conditional duration: A new model for irregularly spaced transaction data
    • Engle R.F. Russell J.R. Autoregressive conditional duration: A new model for irregularly spaced transaction data Econometrica 66 5 1998 1127-1162
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    • Engle, R.F.1    Russell, J.R.2
  • 5
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    • Engle R.F. Granger C.W.J. Co-integration and error correction: Representation, estimation, and testing Econometrica 55 1987 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 6
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    • Working paper, Economics Department, York University, Canada
    • Jasiak, J., 1999. Persistence in intertrade durations. Working paper, Economics Department, York University, Canada.
    • (1999) Persistence in Intertrade Durations
    • Jasiak, J.1
  • 8
    • 0035076459 scopus 로고    scopus 로고
    • Spillover effects in energy futures markets
    • Lin S.X. Tamvakis M.N. Spillover effects in energy futures markets Energy Economics 23 2001 43-56
    • (2001) Energy Economics , vol.23 , pp. 43-56
    • Lin, S.X.1    Tamvakis, M.N.2
  • 9
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    • A statistical paradox
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.