Volatility In Natural Gas And Oil Markets
AbstractUsing daily futures price data, I examine the behavior of natural gas and crude oil price volatility since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shocks to volatility and discuss its implications for gas- and oil-related contingent claims.
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Bibliographic InfoPaper provided by Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research in its series Working Papers with number 0312.
Date of creation: Jun 2003
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