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This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. The authors identify a structural multivariate BEKK model using a recursive assumption whereby shocks to the volatility of the returns are transmitted from the short to the long section of the forward curve. They find strong evidence of spillover effects in the conditional first moments, for which they show that the transmission mechanism operates from the shorter to the longer maturity.
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