Realized volatility and correlation in energy futures markets
利用高频收益率数据，研究了纽约商品交易所轻质低硫原油和亨利枢纽天然气期货的已实现波动率和相关性，发现标准化收益和已实现标准差的对数近似正态分布，且天然气存在非对称波动性。
Abstract Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) and the (logarithms of) realized standard deviations appear approximately Gaussian. The (logarithms of) standard deviations exhibit long‐memory, but the realized correlation between the two futures does not, implying rather weak inter‐market linkage in the long run. There is evidence of asymmetric volatility for natural gas but not for crude oil futures. Finally, realized crude oil futures volatility responds with an increase in the weeks immediately before the OPEC events recommending price increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:993–1011, 2008