Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
AbstractWe study the joint movements of the returns on futures for crude oil, heating oil and natural gas at a daily frequency. We model the leptokurtic behavior through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena (2004). Futures prices of crude and heating oil co-vary strongly. The 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 two thirds of the sample, indicating that futures markets have no established tradition of pricing natural gas as a function of developments on oil markets.
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Bibliographic InfoPaper provided by Stockholm University, Department of Economics in its series Research Papers in Economics with number 2007:11.
Length: 18 pages
Date of creation: 27 Jun 2007
Date of revision:
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Postal: Department of Economics, Stockholm, S-106 91 Stockholm, Sweden
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Web page: http://www.ne.su.se/
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Multivariate GARCH; Kurtosis; Energy Prices; Futures Markets;
Other versions of this item:
- M. Marzo & P. Zagaglia, 2007. "Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets," Working Papers 595, Dipartimento Scienze Economiche, Universita' di Bologna.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G19 - Financial Economics - - General Financial Markets - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-30 (All new papers)
- NEP-ENE-2007-06-30 (Energy Economics)
- NEP-ETS-2007-06-30 (Econometric Time Series)
- NEP-RMG-2007-06-30 (Risk Management)
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