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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
Source: in Energy economics Vol. 53 (2016), p. 220
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Type of Publication: Article
Language: English
Published: 2016
Online: http://search.proquest.com/docview/1768626857
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