Articles by Matthew Brigida
Parameter variation and the components of natural gas price volatility
This paper models natural gas returns explicitly, allowing for market participants to learn over time and to react differently to present changes in economic variables. This learning and adaptation, and the attendant parameter uncertainty, constitutes…
The determinants of regime switching in the natural gas and crude oil cointegrating relationship
This paper aims to find determinants of the endogenous regime-switching process underlying the cointegrating relationship between natural gas and crude oil.