Volatility transmission in the oil and natural gas markets

This research looks at how volatility in the oil and natural gas sectors changes over time and across markets. We empirically examine the univariate and bivariate time-series properties of oil and natural gas index returns, allowing for non-linearity in the variance of each series, as well as for th...

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Veröffentlicht in:	Energy economics 2002-11, Vol.24 (6), p.525-538
Hauptverfasser:	Ewing, Bradley T, Malik, Farooq, Ozfidan, Ozkan
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Economic data Economic models Energy Energy economics Exact sciences and technology Fossil fuels and derived products Gas General, economic and professional studies Market volatility Methodology. Modelling Natural gas Oil Oil and natural gas Oil market Petroleum industry Securities markets Studies Time series Volatility
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Beschreibung
Zusammenfassung:	This research looks at how volatility in the oil and natural gas sectors changes over time and across markets. We empirically examine the univariate and bivariate time-series properties of oil and natural gas index returns, allowing for non-linearity in the variance of each series, as well as for the possibility that changes in volatility in one market may spill over to the other market. Patterns in volatility transmission emerge that may be of practical importance to financial market participants.
ISSN:	0140-9883 1873-6181
DOI:	10.1016/S0140-9883(02)00060-9