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Journal articles (2014), Energy, 68 (15), pp. 327-336

Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework

Ramos Sofia , Dias José

This paper makes a joint analysis of the price of oil, natural gas, and electricity in U.S. markets using a multi-regime specification that captures the stylized facts of energy prices. Oil and natural gas returns have similar regime dynamics and are well characterized by a high and low volatility regime. Link to the article

RAMOS, S. and DIAS, J. (2014). Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework. Energy, 68(15), pp. 327-336.

Keywords : #Energy-prices