Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
982324 | The Quarterly Review of Economics and Finance | 2010 | 7 Pages |
Abstract
This paper studies the relationship between futures prices of natural gas and oil. Using wavelet analysis, our research reveals that, throughout the sampled period: (1) the prices of natural gas futures and oil futures have high covariance at high frequencies but not so much at low frequencies; (2) an increase in financialization of commodities commensurate with investors search for yield results in higher covariance between the futures prices of natural gas and oil; and (3) the volatility of neither time series consistently leads the other even at high frequencies.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Victor Lux Tonn, H.C. Li, Joseph McCarthy,