Volatility transmission in the oil and natural gas markets

Bradley T. Ewing; Farooq Malik; Ozkan Ozfidan

doi:10.1016/S0140-9883(02)00060-9

Volatility transmission in the oil and natural gas markets

Bradley T. Ewing, Farooq Malik, Ozkan Ozfidan

Research output: Contribution to journal › Article › peer-review

135 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 language	English (US)
Pages (from-to)	525-538
Number of pages	14
Journal	Energy Economics
Volume	24
Issue number	6
DOIs	https://doi.org/10.1016/S0140-9883(02)00060-9
State	Published - Nov 2002
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics
General Energy

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10.1016/S0140-9883(02)00060-9

Cite this

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Volatility transmission in the oil and natural gas markets

Abstract

ASJC Scopus subject areas

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