Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/150779
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBai, Xiwenen_US
dc.contributor.authorLam, Jasmine Siu Leeen_US
dc.date.accessioned2021-06-02T03:05:03Z-
dc.date.available2021-06-02T03:05:03Z-
dc.date.issued2019-
dc.identifier.citationBai, X. & Lam, J. S. L. (2019). A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. Energy Economics, 78, 412-427. https://dx.doi.org/10.1016/j.eneco.2018.10.032en_US
dc.identifier.issn0140-9883en_US
dc.identifier.urihttps://hdl.handle.net/10356/150779-
dc.description.abstractGlobal 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 dependencies. Different types of copulas with both time-invariant and time-varying dependence structures are fitted and their suitability has been compared. The findings suggest that firstly, Baltic LPG (BLPG) freight rate and the arbitrage between propane Far East and Middle East prices have conditional time-varying dependence and the dependence is higher in market downturns. Furthermore, BLPG and the arbitrage between Far East and US propane prices, have symmetric dependence and such a relationship has strengthened since 2013. Secondly, Middle East propane price is found to have the strongest correlation with crude oil prices compared to Far East and US propane prices, indicating higher sensitivity to crude oil price changes. Last but not least, the relationship between crude oil and BLPG is relatively weak and mostly positive.en_US
dc.language.isoenen_US
dc.relation.ispartofEnergy Economicsen_US
dc.rights© 2018 Elsevier B.V. All rights reserved.en_US
dc.subjectEngineering::Civil engineeringen_US
dc.titleA copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil priceen_US
dc.typeJournal Articleen
dc.contributor.schoolSchool of Civil and Environmental Engineeringen_US
dc.identifier.doi10.1016/j.eneco.2018.10.032-
dc.identifier.scopus2-s2.0-85058409297-
dc.identifier.volume78en_US
dc.identifier.spage412en_US
dc.identifier.epage427en_US
dc.subject.keywordsLiquefied Petroleum Gasen_US
dc.subject.keywordsShipping Freighten_US
item.fulltextNo Fulltext-
item.grantfulltextnone-
Appears in Collections:CEE Journal Articles

Page view(s)

26
Updated on Oct 28, 2021

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.