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A note on the conditional correlation between energy prices: Evidence from future markets
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
2008 (Engelska)Ingår i: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 30, nr 5, s. 2454-2458Artikel i tidskrift (Refereegranskat) 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 ""Dynamic Conditional Correlation with Elliptical Distributions"", unpublished manuscript.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.

Ort, förlag, år, upplaga, sidor
2008. Vol. 30, nr 5, s. 2454-2458
Nyckelord [en]
multivariate GARCH, kurtosis, energy prices, future markets
Nationell ämneskategori
Nationalekonomi
Identifikatorer
URN: urn:nbn:se:su:diva-58257DOI: 10.1016/j.eneco.2008.01.007ISI: 000258805100023OAI: oai:DiVA.org:su-58257DiVA, id: diva2:420156
Anmärkning
authorCount :2Tillgänglig från: 2011-05-31 Skapad: 2011-05-30 Senast uppdaterad: 2017-12-11Bibliografiskt granskad

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