We model the joint movements of daily returns on one-month futures for crude oil, heating oil and natural gas through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena [Pelagatti, M.M., Rondena, S., 2007. "Dynamic...

I study the dynamics of oil futures prices in the NYMEX using a large panel dataset that includes global macroeconomic indicators, financial market indices, quantities and prices of energy products. I extract common factors from the panel data series and estimate a Factor-Augmented Vector...