Spargoli, Fabrizio; Zagaglia, Paolo - Nationalekonomiska institutionen, Stockholms Universitet - 2007
This paper studies the comovements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. We identify a structural multivariate BEKK model using a recursive assumption whereby shocks to the volatility of the returns are transmitted from the...