Gogas, Periklis; Serletis, Apostolos - In: International Journal of Financial Markets and Derivatives 1 (2010) 2, pp. 155-168
In this paper, we use recent advances in the financial econometrics literature to model the time-varying conditional variance in five energy markets – crude oil, gasoline, heating oil, propane, and natural gas – using daily data over the period from January 3, 1994 to September 23, 2008. We...