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EnglishWe model the joint movements of daily returns on one-month futures for crude oil, heating oil and natural gas through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena [Pelagatti, M.M., Rondena, S., 2007. “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript. Universitá di Milano — Bicocca, August]. Futures prices of crude and heating oil covary strongly. The conditional correlation between the futures prices of natural gas and crude oil has been rising over the last 5 years. However, this correlation has been low on average over twothirds of the sample, suggesting that future markets have no established tradition of pricing natural gas as a function of developments on oil markets.
| Titolo: | A note on the conditional correlation between energy prices: Evidence from future markets |
| Autore/i: | MARZO, MASSIMILIANO; ZAGAGLIA, PAOLO |
| Autore/i Unibo: | |
| Anno: | 2008 |
| Rivista: | |
| Digital Object Identifier (DOI): | 10.1016/j.eneco.2008.01.007 |
| Abstract: | We model the joint movements of daily returns on one-month futures for crude oil, heating oil and natural gas through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena [Pelagatti, M.M., Rondena, S., 2007. “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript. Universitá di Milano — Bicocca, August]. Futures prices of crude and heating oil covary strongly. The conditional correlation between the futures prices of natural gas and crude oil has been rising over the last 5 years. However, this correlation has been low on average over twothirds of the sample, suggesting that future markets have no established tradition of pricing natural gas as a function of developments on oil markets. |
| Data prodotto definitivo in UGOV: | 2010-03-01 12:51:41 |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
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http://hdl.handle.net/11585/87705
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