Volatility dynamics of NYMEX natural gas futures prices
We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time-series model of Smith (2005, Journal of Applied Econometrics, 20, 405-422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the summer,...
| Main Authors: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
Wiley InterScience
2008
|
| Online Access: | http://hdl.handle.net/20.500.11937/7299 |