Volatility in natural gas and oil markets

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