Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets

Marzo, Massimiliano ; Zagaglia, Paolo (2007) Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets. Bologna: Dipartimento di Scienze economiche DSE, p. 16. DOI 10.6092/unibo/amsacta/4689. In: Quaderni - Working Paper DSE (594). ISSN 2282-6483.
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Abstract

We study the joint movements of the returns on futures for crude oil, heating oil and natural gas. We model the leptokurtic behavior through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena (2004). Energy futures markets co-vary strongly. The correlation between the futures prices of natural gas and crude oil has been rising over the last 5 years. However, this correlation has been low on average over two thirds of the sample, indicating that futures markets have no established tradition of pricing natural gas as a function of developments on oil markets.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Marzo, Massimiliano
Zagaglia, Paolo
Keywords
multivariate GARCH, kurtosis, energy prices, futures markets
Subjects
ISSN
2282-6483
DOI
Deposit date
26 Feb 2016 11:15
Last modified
26 Feb 2016 11:15
URI

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