| 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 |
