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Volatility in natural gas and oil markets

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dc.contributor.author Pindyck, Robert S. en_US
dc.contributor.other Massachusetts Institute of Technology. Center for Energy and Environmental Policy Research. en_US
dc.date.accessioned 2009-04-03T17:05:41Z
dc.date.available 2009-04-03T17:05:41Z
dc.date.issued 2003 en_US
dc.identifier 2003-012 en_US
dc.identifier.uri http://hdl.handle.net/1721.1/45005
dc.description.abstract Using daily futures price data, I examine the behavior of natural gas and crude oil price volatility since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shocks to volatility and discuss its implications for gas-and oil-related contingent claims. en_US
dc.format.extent 21 p en_US
dc.publisher MIT Center for Energy and Environmental Policy Research en_US
dc.relation.ispartofseries MIT-CEEPR (Series) ; 03-012WP. en_US
dc.title Volatility in natural gas and oil markets en_US
dc.type Working Paper en_US
dc.identifier.oclc 53194037 en_US


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