Volatility dynamics and seasonality in energy prices: implications for crack-spread price risk
We examine the volatility dynamics of three major petroleum commodities traded on the NYMEX: crude oil, unleaded gasoline, and heating oil. Using the partially overlapping time-series (POTS) framework of Smith (2005), we model jointly all futures contracts with delivery dates up to a year into the f...
| Main Authors: | , |
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| Format: | Journal Article |
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INT ASSOC ENERGY ECONOMICS
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/3163 |