Volatility transmission in the oil and natural gas markets

Bradley T. Ewing, Farooq Malik, Ozkan Ozfidan

Research output: Contribution to journalArticlepeer-review

107 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)525-538
Number of pages14
JournalEnergy Economics
Volume24
Issue number6
DOIs
StatePublished - Nov 2002

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