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 “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript.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.
A note on the conditional correlation between energy prices: Evidence from future markets / Marzo M.; Zagaglia P.. - In: ENERGY ECONOMICS. - ISSN 0140-9883. - STAMPA. - 30:(2008), pp. 2454-2458. [10.1016/j.eneco.2008.01.007]
A note on the conditional correlation between energy prices: Evidence from future markets
MARZO, MASSIMILIANO;ZAGAGLIA, PAOLO
2008
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 “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript.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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
