Volatility transmission in the oil and natural gas markets

被引：131
|
作者：
Ewing, BT [1 ]
Malik, F
Ozfidan, O
机构：
[1] Texas Tech Univ, Dept Econ, Lubbock, TX 79409 USA
[2] Penn State Univ, Dept Econ & Finance, Reading, PA 19610 USA
[3] Virginia Dept Planning & Budget, Richmond, VA 23219 USA
来源：
ENERGY ECONOMICS | 2002年 / 24卷 / 06期
关键词：
market volatility; oil and natural gas; time series;
D O I：
10.1016/S0140-9883(02)00060-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：525 / 538
页数：14
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