Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets

The paper examines both the time-varying price and volatility transmission between US natural gas and crude oil wholesale markets, over the period 1990–2017. Short iterations suggest that neither commodity determines other’s returns, but sub-periods with very short-lived causal r...

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Bibliographic Details

Published in:	Energies
Main Authors:	Theodosios Perifanis, Athanasios Dagoumas
Format:	Article
Language:	English
Published:	MDPI AG 2018-10-01
Subjects:	crude oil natural gas Henry Hub price spillovers volatility spillovers DCC-GARCH
Online Access:	http://www.mdpi.com/1996-1073/11/10/2757