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 “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript.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, 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 “Dynamic Conditional Correlation with Elliptical Distributions”, unpublished manuscript.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.
2008
Marzo M.; Zagaglia P.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/87705
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