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Natural gas markets: how sensitive are they to crude oil price changes?

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  • Ibrahim A. Onour

Abstract

This paper investigates sensitivity of US natural gas price with crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilised in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts. Copyright 2009 The Author. Journal compilation 2009 Organization of the Petroleum Exporting Countries.

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Bibliographic Info

Article provided by Organization of the Petroleum Exporting Countries in its journal OPEC Energy Review.

Volume (Year): 33 (2009)
Issue (Month): 2 (06)
Pages: 111-124

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Handle: RePEc:bla:opecrv:v:33:y:2009:i:2:p:111-124

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