Modelling futures price volatility in energy markets: Is there a role for financial speculation?
This paper models volatility in four energy futures markets, adopting GARCH models. The variance equation is enriched with alternative measures of speculation, based on CFTC data: the market share of non-commercial traders, the Working's T index, and the percentage of net long positions of... Full description
|1st Person:||Matteo Manera|
|Additional Persons:||Marcella Nicolini; Ilaria Vignati|
in Energy economics Vol. 53 (2016), p. 220
|Type of Publication:||Article|