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 “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript.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.
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): | http://dx.doi.org/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 “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript.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 |