摘要: Using daily futures price data, I examine the behavior of natural gas and crude oil volatility since 1990. test whether there has been a significant trend in volatility, was short-term increase during time Enron collapse, volatilities are interrelated. also measure persistence shocks to discuss its implications for gas- oil-related contingent claims.
参考文章(12)
Z. Eckstein, Eichenbaum, Inventories and quantity constrained equilibria in regulated markets: the US Petroleum Industry, 1947-1972 Resources of Future, Inc.. pp. 70- 100 ,(1983)
John H. Herbert, Trading volume, maturity and natural gas futures price volatility Energy Economics. ,vol. 17, pp. 293- 299 ,(1995) , 10.1016/0140-9883(95)00033-Q
Robert S. Pindyck, The Dynamics of Commodity Spot and Futures Markets: A Primer The Energy Journal. ,vol. 22, pp. 1- 30 ,(2001) , 10.5547/ISSN0195-6574-EJ-VOL22-NO3-1
Michael S. Haigh, Matthew T. Holt, Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets Journal of Applied Econometrics. ,vol. 17, pp. 269- 289 ,(2002) , 10.1002/JAE.628
ROBERT H. LITZENBERGER, NIR RABINOWITZ, Backwardation in Oil Futures Markets: Theory and Empirical Evidence Journal of Finance. ,vol. 50, pp. 1517- 1545 ,(1995) , 10.1111/J.1540-6261.1995.TB05187.X
EDUARDO S. SCHWARTZ, The stochastic behavior of commodity prices: Implications for valuation and hedging Journal of Finance. ,vol. 52, pp. 923- 973 ,(1997) , 10.1111/J.1540-6261.1997.TB02721.X
Robert S. Pindyck, VOLATILITY AND COMMODITY PRICE DYNAMICS Journal of Futures Markets. ,vol. 24, pp. 1029- 1047 ,(2004) , 10.1002/FUT.20120
Eduardo Schwartz, James E. Smith, Short-Term Variations and Long-Term Dynamics in Commodity Prices Management Science. ,vol. 46, pp. 893- 911 ,(2000) , 10.1287/MNSC.46.7.893.12034
JOHN HULL, ALAN WHITE, The Pricing of Options on Assets with Stochastic Volatilities Journal of Finance. ,vol. 42, pp. 281- 300 ,(1987) , 10.1111/J.1540-6261.1987.TB02568.X
John Y. Campbell, Martin Lettau, Burton G. Malkiel, Yexiao Xu, Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk The Journal of Finance. ,vol. 56, pp. 1- 43 ,(2001) , 10.1111/0022-1082.00318