We introduce a new class of models that has both stochastic volatility and moving average errors, where the conditional mean has a state space representation. Having a moving average component, however, means that the errors in the measurement equation are no longer serially independent, and...

The long-term relationship between the prices of natural gas in the United Kingdom and oil-indexed natural gas in the North West European market is the result of seasonal arbitrage. This paper empirically investigates this long-term relationship and offers two main contributions: (i) To the best...