Volatility in Natural Gas and Oil Markets
نویسنده
چکیده
I use daily futures price data to examine the behavior of natural gas and crude oil price volatility in the U.S. 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 gasand oil-related contingent claims. JEL Classification Numbers: G13; L71, Q40
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