The Switching Relationship between Natural Gas and Crude Oil Prices

My latest working paper has been posted to the research paper series for the US Energy Economics Association at SSRN.  In the analysis I model the cointegrating relationship between natural gas and crude oil prices as a first-order, M-state, Markov-switching process. 

You can view the abstract and download the paper here:  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2194215

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