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A note on the conditional correlation between energy prices: Evidence from future markets
Stockholm University, Faculty of Social Sciences, Department of Economics.
2008 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 30, no 5, 2454-2458 p.Article in journal (Refereed) 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 ""Dynamic Conditional Correlation with Elliptical Distributions"", unpublished manuscript.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.

Place, publisher, year, edition, pages
2008. Vol. 30, no 5, 2454-2458 p.
Keyword [en]
multivariate GARCH, kurtosis, energy prices, future markets
National Category
URN: urn:nbn:se:su:diva-58257DOI: 10.1016/j.eneco.2008.01.007ISI: 000258805100023OAI: diva2:420156
authorCount :2Available from: 2011-05-31 Created: 2011-05-30 Last updated: 2011-05-31Bibliographically approved

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