Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
A note on the conditional correlation between energy prices: Evidence from future markets
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
2008 (engelsk)Inngår i: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 30, nr 5, s. 2454-2458Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We model the joint movements of daily returns on one-month future 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 ""Dynamic Conditional Correlation with Elliptical Distributions"", unpublished manuscript. Universita 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 oil average over two thirds of the sample, suggesting that future markets have no established tradition of pricing natural gas as a function of developments on oil markets.

sted, utgiver, år, opplag, sider
2008. Vol. 30, nr 5, s. 2454-2458
Emneord [en]
multivariate GARCH, kurtosis, energy prices, future markets
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-58257DOI: 10.1016/j.eneco.2008.01.007ISI: 000258805100023OAI: oai:DiVA.org:su-58257DiVA, id: diva2:420156
Merknad
authorCount :2Tilgjengelig fra: 2011-05-31 Laget: 2011-05-30 Sist oppdatert: 2017-12-11bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst
Av organisasjonen
I samme tidsskrift
Energy Economics

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 31 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf