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• W2017096844 abstract "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 non-commercials over total open interest in future markets. It also includes a control for market liquidity. We consider four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) over the period 2000–2014, analysed at weekly frequency. We find that speculation presents a negative and significant sign. The robustness exercise shows that: i) results remain unchanged through different model specifications (GARCH-in-mean, EGARCH, and TARCH); ii) results are robust to different specifications of the mean and variance equation." @default.
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• W2017096844 date "2016-01-01" @default.
• W2017096844 modified "2023-10-18" @default.
• W2017096844 title "Modelling futures price volatility in energy markets: Is there a role for financial speculation?" @default.
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• W2017096844 doi "https://doi.org/10.1016/j.eneco.2014.07.001" @default.
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