Marzo, Massimiliano; Zagaglia, Paolo - In: Energy Economics 30 (2008) 5, pp. 2454-2458
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...