We study the joint movements of the returns on futures for crude oil, heating oil and natural gas. We model the leptokurtic behavior through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena (2004). Energy futures...

This paper studies the forecasting properties of linear GARCH models for closing-day futures prices on crude oil, first position, traded in the New York Mercantile Exchange from January 1995 to November 2005. In order to account for fat tails in the empirical distribution of the series, we...