University of Khartoum

Wild Oil Prices, but Resilient Natural Gas Markets

Wild Oil Prices, but Resilient Natural Gas Markets

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Title: Wild Oil Prices, but Resilient Natural Gas Markets
Author: Onour, Ibrahim A.
Abstract: This paper investigates the association between volatility of crude oil and U.S. natural gas prices under two alternative models: Normal distribution and skewed-t distribution models. Despite evidence of significant kurtosis for both energy prices the paper shows the Normal distribution model outperform the skewed t-distribution model. It is also indicated in the paper despite evidence of low correlation between volatility of the two prices, the sensitivity of natural gas price to oil price change increased substantially when crude oil price surged above $40 per oil barrel. This implies that the association between volatility of the two prices is more complex than can be captured by constant relationship.
URI: http://khartoumspace.uofk.edu/123456789/22049
Date: 2011


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